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IbmSp500

Monthly Returns of IBM and S&P 500 Index

Description

The monthly returns of IBM stock and the S&P 500 index from January 1926 to December 2008. This data has been discussed by Tsay (2010, Chapter 8).

Usage

data(IbmSp500)

Format

A data frame with 996 observations on the following 3 variables.

date

a numeric vector

ibm

a numeric vector

sp

a numeric vector

Source

http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/

References

Tsay, R. S. (2010). "Analysis of Financial Time Series". Wiley, New York, 3rd edition.

Examples

data(IbmSp500)
plot(IbmSp500) 
acf(IbmSp500)
fitstable(IbmSp500)
portes

Portmanteau Tests for Univariate and Multivariate Time Series Models

v5.0
GPL (>= 2)
Authors
Esam Mahdi [aut, cre], Ian McLeod [ctb]
Initial release
2020-12-12

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