R: Daily NYSE Composite Index

NYSESW {AER} | R Documentation

## Daily NYSE Composite Index

### Description

A daily time series from 1990 to 2005 of the New York Stock Exchange composite index.

### Usage

    data("NYSESW")

### Format

A daily univariate time series from 1990-01-02 to 2005-11-11 (of class `"zoo"` with `"Date"` index).

### Source

Online complements to Stock and Watson (2007).

### References

Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.

### See Also

`StockWatson2007`

### Examples

    ## returns
    data("NYSESW")
    ret <- 100 * diff(log(NYSESW))
    plot(ret)

    ## Stock and Watson (2007), p. 667, GARCH(1,1) model
    library("tseries")
    fm <- garch(coredata(ret))
    summary(fm)

[Package AER version 1.2-5 Index]