GeneralizedHyperbolic (version 0.8-4)

SandP500: S\&P 500

Description

This data set gives the value of Standard and Poor's most notable stock market price index (the S&P 500) at year end, from 1800 to 2001.

Usage

data(SandP500)

Format

A vector of 202 observations.

References

Brown, Barry W., Spears, Floyd M. and Levy, Lawrence B. (2002) The log F: a distribution for all seasons. Computational Statistics, 17, 47--58.

Examples

# NOT RUN {
data(SandP500)
### Consider proportional changes in the index
change <- SandP500[-length(SandP500)] / SandP500[-1]
hist(change)
### Fit hyperbolic distribution to changes
hyperbFit(change)
# }