\name{ch02data}
\docType{data}
\alias{ch02data}
\alias{m.ibm2697}
\alias{m.vw2697}
\alias{q.gnp4791}
\alias{m.ibm3dx2603}
\alias{m.3m4697}
\alias{q.gdp4703}
\alias{d.sp9003lev}
\alias{q.jnj}
\alias{m.decile1510}
\alias{w.gs1n36299}
\title{ financial time series for Tsay (2005, chapter 2[text]) }
\description{
  Financial time series used in examples in chapter 2.
}
\usage{
data(m.ibm2697)
data(m.vw2697)
data(q.gnp4791)
data(m.ibm3dx2603)
data(m.3m4697)
data(q.gdp4703)
data(d.sp9003lev)
data(q.jnj)
data(m.decile1510)
data(w.gs1n36299)
}
\format{
  Objects of class zoo giving simple returns for each trading period
  (day, week or month) for different periods.

  \itemize{
    \item{m.ibm2697, m.vw2697}{
      Monthly returns for IBM stock and the value weighted index from
      1926 to 1997.
    }
    \item{q.gnp4791}{
      Growth rate of U.S. quarterly real gnp, from 1947Q2 to 1991Q1.
    }
    \item{m.ibm3dx2603}{
      Monthy returns of IBM stock, the value and equal weighted and
      Standard and Poors indices from 1926 through 2003.
    }
    \item{m.3m4697}{
      Monthly simple returns of 3M stock from Feb., 1946 through
      Dec. 2003.
    }
    \item{q.gdp4703}{
      U.S. quarterly GDP from 1947 through 2003
    }
    \item{d.sp9003lev}{
      Daily values of S&P 500 index from 1990 through 2003.
    }
    \item{q.jnj}{
      Quarterly earnings of Johnson & Johnson from 1960 through 1980.
    }
    \item{m.decile1510}{
      Monthly simple returns of Deciles 1, 5, 10.  Decile 1 means the
      weighted returns of companies in the first 10 percent of market
      cap (i.e. 0 to 10).  (Thus, it is not the 10th percentile.)
      Decile 10
      means the returns of the top 10 percent of the companies (market
      cap).  Therefore, decile 1 is the smallest listed companies, and
      decile 10 is for the largest companies.

      The 'index' of 'm.decile1510' has class 'Date'.  Since it's a
      monthly series, it would be better for many purposes if it had
      'index' of class 'yearmon'.  See the 'examples' below for how to
      achieve this conversion.
    }
    \item{w.gs1n36299}{
      zoo object with two columns, 'gs1' and 'gs3', giving weekly 1-yr &
      3-yr interest rates from 1962-01-05 through 2007-11-02.  These
      data were reextracted from the Federal Reserve Bank at St. Louis
      to replace data from the book's web site that had obvious data
      quality problems (e.g., a date of 1962-08-32).

      To get data covering January 4, 1962, through September 10, 1999,
      use window(w.gs1n36299, start=as.Date("1962-01-12"),
      end=as.Date("1999-09-10"));  see 'examples' below.
    }
  }
}
%\details{
%}
\source{
  \url{
    http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2
  }
}
\references{
  Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley,
  ch. 2)
}
\author{
  Spencer Graves with help from Gabor Grothendieck.
}
\seealso{ \code{\link{ch01data}} }
\examples{
##
## m.decile1510 has 'index' of class 'Date'
## Since it's a monthly series, for many purposes,
## it should have 'index' of class 'yearmon'.
## To get this, do the following:
##
data(m.decile1510)
mDecile1510 <- zoo(m.decile1510, as.yearmon(index(m.decile1510)))

##
## w.gs1n36299 covers a broader range than used in
## Tsay (2005, sec. 2.9, pp. 80ff):  subset using 'window':
##
data(w.gs1n36299)
w.gs1n3 <- window(w.gs1n36299, start=as.Date("1962-01-12"),
    end=as.Date("1999-09-10"))
}
\keyword{datasets}