R: SMI Data - 141 Days in Winter 2011/2012

SMI.12 {copula} | R Documentation

## SMI Data – 141 Days in Winter 2011/2012

### Description

`SMI.12` contains the close prices of all 20 constituents of the Swiss Market Index (SMI) from 2011-09-09 to 2012-03-28.

### Usage

    data(SMI.12)

### Format

`SMI.12` is conceptually a multivariate time series, here simply stored as `numeric` `matrix`, where the `rownames` are dates (of week days).

The format is:

num [1:141, 1:20] 16.1 15.7 15.7 16.1 16.6 ... - attr(*, "dimnames")=List of 2 ..$ : chr [1:141] "2011-09-09" "2011-09-12" "2011-09-13" "2011-09-14" ... ..$ : chr [1:20] "ABBN" "ATLN" "ADEN" "CSGN" ...

... from 2011-09-09 to 2012-03-28

`lSMI` is the list of the original data (before `NA` “imputation”).

### Source

The data was drawn from Yahoo! Finance.

### Examples

    data(SMI.12)
    ## maybe
    head(SMI.12)

    str(D.12 <- as.Date(rownames(SMI.12)))
    summary(D.12)

    matplot(D.12, SMI.12, type="l", log = "y",
            main = "The 20 SMI constituents  (2011-09 -- 2012-03)",
            xaxt="n", xlab = "2011  /  2012")
    Axis(D, side=1)

    if(FALSE) { ##--- This worked up to mid 2012, but no longer ---
     begSMI <- "2011-09-09"
     endSMI <- "2012-03-28"
     ##-- read *public* data ------------------------------
     stopifnot(require(zoo), # -> to access all the zoo methods
               require(tseries))
     symSMI <- c("ABBN.VX","ATLN.VX","ADEN.VX","CSGN.VX","GIVN.VX","HOLN.VX",
    	     "BAER.VX","NESN.VX","NOVN.VX","CFR.VX", "ROG.VX", "SGSN.VX",
    	     "UHR.VX", "SREN.VX","SCMN.VX","SYNN.VX","SYST.VX","RIGN.VX",
    	     "UBSN.VX","ZURN.VX")
     lSMI <- sapply(symSMI, function(sym)
    		get.hist.quote(instrument = sym, start= begSMI, end= endSMI,
    			       quote = "Close", provider = "yahoo",
    			       drop=TRUE))
     ## check if stock data have the same length for each company.
     sapply(lSMI, length)
     ## "concatenate" all:
     SMIo <- do.call(cbind, lSMI)
     ## and fill in the NAs :
     SMI.12 <- na.fill(SMIo, "extend")
     colnames(SMI.12) <- sub("\\.VX", "", colnames(SMI.12))
     SMI.12 <- as.matrix(SMI.12)
    }##----       --- original download

    zoo.there <- "package:zoo" %in% search()
    if(zoo.there || require("zoo")) {
      stopifnot(identical(SMI.12,
         local({ S <- as.matrix(na.fill(do.call(cbind, lSMI), "extend"))
                 colnames(S) <- sub("\\.VX", "", colnames(S)); S })))
      if(!zoo.there) detach("package:zoo")
    }

[Package copula version 1.0-1 Index]