R: Daily Returns of Three Stocks in the Dow Jones

rdj {copula} | R Documentation

## Daily Returns of Three Stocks in the Dow Jones

### Description

Five years of daily log-returns (from 1996 to 2000) of Intel (INTC), Microsoft (MSFT) and General Electric (GE) stocks. These data were analysed in Chapter 5 of McNeil, Frey and Embrechts (2005).

### Usage

    data(rdj, package="copula")

### Format

A data frame of 1262 daily log-returns from 1996 to 2000.

`Date`

  the date, of class `"Date"`.

`INTC`

  daily log-return of the Intel stock

`MSFT`

  daily log-return of the Microsoft stock

`GE`

  daily log-return of the General Electric

### References

McNeil, A. J., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.

### Examples

    data(rdj)
    str(rdj)# 'Date' is of class "Date"

    with(rdj, {
       matplot(Date, rdj[,-1], type = "o", xaxt = "n", ylim = .15* c(-1,1),
               main = paste("rdj - data;  n =", nrow(rdj)))
       Axis(Date, side=1)
    })
    legend("top", paste(1:3, names(rdj[,-1])), col=1:3, lty=1:3, bty="n")

    x <- rdj[, -1] # '-1' : not the Date
    ## a t-copula (with a vague inital guess of Rho entries)
    tCop <- tCopula(rep(.2, 3), dim=3, dispstr="un", df=10, df.fixed=TRUE)
    ft <- fitCopula(tCop, data = pobs(x))
    ft
    ft@copula # the fitted t-copula as tCopula object
    system.time(
    g.C <- gofCopula(claytonCopula(dim=3), as.matrix(x), simulation = "mult")
    ) ## 5.3 sec
    system.time(
    g.t <- gofCopula(ft@copula, as.matrix(x), simulation = "mult")
    ) ## 8.1 sec

[Package copula version 1.0-1 Index]