assets

Returns for all the trading days from November 1, 1993 to April 3, 2003.

Functions for fitting the Autoregressive and Moving Average Symmetric Model for univariate time series introduced by Maior and Cysneiros (2018), <doi:10.1007/s00362-016-0753-z>. Fitting method: conditional maximum likelihood estimation. For details see: Wei (2006), Time Series Analysis: Univariate and Multivariate Methods, Section 7.2.

Vinicius Souto Maior

sym.arma

Autoregressive and Moving Average Symmetric Models

assets function

A data frame with 2363 observations on the following 8 variables.<dl class="dl-horizontal">
 <dt><code>tbill</code></dt><dd>a vector of returns of the T-bill rates for the trading days.</dd>
 <dt><code>msf</code></dt><dd>a vector of returns of the daily closing prices of Microsoft Corporation.</dd>
 <dt><code>sp500</code></dt><dd>a vector of returns of the Standard and Poors 500 index for the trading days.</dd>
 <dt><code>ge</code></dt><dd>a vector of returns of the daily closing prices of General Electric Company.</dd>
 <dt><code>ford</code></dt><dd>a vector of returns of the daily closing prices of Forward Industries Inc.</dd>
 <dt><code>day</code></dt><dd>day of trading.</dd>
 <dt><code>month</code></dt><dd>month of trading.</dd>
 <dt><code>year</code></dt><dd>year of trading.</dd>
 </dl>

Format

Returns of the daily closing prices of assets, Standard and Poors 500 Index and T-bill rates — assets

A data frame with 2363 observations on the following 8 variables.<dl class='dl-horizontal'>
 <dt><code>tbill</code></dt><dd>a vector of returns of the T-bill rates for the trading days.</dd>
 <dt><code>msf</code></dt><dd>a vector of returns of the daily closing prices of Microsoft Corporation.</dd>
 <dt><code>sp500</code></dt><dd>a vector of returns of the Standard and Poors 500 index for the trading days.</dd>
 <dt><code>ge</code></dt><dd>a vector of returns of the daily closing prices of General Electric Company.</dd>
 <dt><code>ford</code></dt><dd>a vector of returns of the daily closing prices of Forward Industries Inc.</dd>
 <dt><code>day</code></dt><dd>day of trading.</dd>
 <dt><code>month</code></dt><dd>month of trading.</dd>
 <dt><code>year</code></dt><dd>year of trading.</dd>
 </dl>

assets: Returns of the daily closing prices of assets, Standard and Poors 500 Index and T-bill rates

Description

Usage

Arguments

Format

References