search for: sp500

I am an R beginner and trying to run a SUR model in R framework. subset(esasp500, Obs <=449 & Obs>=197, select = -Date) ->ev13sub c(Obs>=397) & c(Obs<=399) ->d13 c(Obs>=400) & c(Obs<=449) ->f13 SP500*f13 ->SP500f13 BBC~SP500+d13+SP500f13 ->sur132 BOW~SP500+d13+SP500f13 ->sur133 CSK~SP500+d13+SP500f13 ->sur134 DTC~S...

Hi folks - After upgrading to the latest version of Rmetrics, I can't read in data like I used to. Is anyone seeing the following? It seems to truncate the dates after I use "as.timeSeries". -John SP500<-read.table("SP500.csv",header=TRUE,sep=",") > head(SP500) Date Open High Low Close Volume 1 08/04/06 1280.26 1292.92 1273.82 1279.40 2530970112 2 08/03/06 1278.22 1283.96 1271.25 1280.27 2728440064 3 08/02/06 1270.73 1283.42 1270.73 1277.41 2610...

Hi folks. This set of code used to work, but after upgrading to the latest version of Rmetrics it no longer does. Any ideas? SP500<-read.table("SP500.csv",header=TRUE,sep=",") > head(SP500) Date Open High Low Close Volume Close2 1 8/4/2006 1280.26 1292.92 1273.82 1279.40 2530970112 1279.40 2 8/3/2006 1278.22 1283.96 1271.25 1280.27 2728440064 1280.27 3 8/2/2006 1270.73...

Hi Folks! I'm struggling with dates - but enough about my personal life..... I have two daily time series files. In one (x) the date format is Y/m/d and the other (y) is d/m/y. I used read.zoo on both and they read into R with no problem. Then I use: weekdays(as.Date(x$DATE)) and get what I expect - all the days of the week in my data set. When I use:

Hi R Helpers, I recently tried to take advantage of the ability to download all the tickers in the S&P 500 using the functionality of tidyquant, but it threw an error. For summary, the set of commands that I ran was library(tidyquant) tq_index_options() tq_index("SP500") sessionInfo() R feedback including error message and sessionInfo are provided below. Guidance would be appreciated. --John J. Sparks, Ph.D. > library(tidyquant) Loading required package: lubridate Attaching package: ?lubridate? The following object is masked from ?package:base?:...

I have a dataframe called x2. It seems to have a date column but I can't access it or give it a name or convert it to a date. How do I refer to that first column and make it a date ? When I try x2[1,] I get the second column. head(x2) FAIRX SP500 delta 2000-08-31 0.010101096 0.007426964 0.002674132 2000-09-29 0.096679730 -0.054966292 0.151646023 2000-10-31 -0.008245580 -0.004961785 -0.003283795 2000-11-30 0.037024545 -0.083456134 0.120480679 2000-12-29 0.080042708 0.004045193 0.075997514 2001-01-31 -0.009042396 0.034050246...

...t results different from normal, which I don't understand garch_snorm <- garchFit(series = logr, cond.dist = 'dsnorm', include.mean = F, include.skew = T) Have I done something wrong? I am attaching the code, thank you. Tian #GARCH analysis of monthly return rm(list=ls(all=TRUE)) sp500 <- read.csv('s&p_m90.csv', header=TRUE) sp500 <- sp500[,2] #only adjusted close n <- length(sp500) logr <- log(sp500[1:n-1] / sp500[2:n]) acf(logr) ar5 <- arima(logr, order = c(5, 0, 0), include.mean = T) logr<- ar5$res acf(logr) #fit GARCH distribution hist(logr, fr...

...udent t, skew normal, skew t. But all innovations except normal got exaxtly same coefficients, even if I changed their parameters of skew and shape. Is this correct for the data or something wrong? I am attaching the code, thank you. Muster #GARCH analysis of monthly return rm(list=ls(all=TRUE)) sp500 <- read.csv('s&p_m.csv', header=TRUE) sp500 <- sp500[,2] #only adjusted close n <- length(sp500) logr <- log(sp500[1:n-1] / sp500[2:n]) acf(logr) ar5 <- arima(logr, order = c(5, 0, 0), include.mean = T) logr<- ar5$res #remove mean acf(logr) #fit GARCH distribution hi...

Dear list members, How can I shade the background area of a zoo time series object between specific dates? eg. library(tseries) library(zoo) SP500<-get.hist.quote("^GSPC", start = "1990-01-01", quote = "Close") plot(SP500) How can I produce the same plot but with a (say) red background between 2007-04-12 and 2008-05-14 ? Many thanks in advance... Costas P Think before you print....

...I can find it and if there is an easy way to access particular mails sent to you. My second question is related to the fitting the t distribution with the fitdistr function. I am actually trying to fit it to the standard data set in the Ecdat package. Here is my code: >library(ecdat) >data(SP500) #Fitting a normal distribution runs just fine. > fitdistr(SP500[[1]],"normal") mean sd 0.0004180994 0.0108610082 (0.0002058797) (0.0001455789) #But when I try the t: > fitdistr(SP500[[1]],"t") m s df 0.0005236326...

I have a xts object made of daily closing prices I have acquired using quantmod. Here is my code: library(xts) library(quantmod) library(lubridate) # Gets SPY data getSymbols("SPY") # Subset Prices to just closing price SP500 <- Cl(SPY) # Show day of the week for each date using 2-6 for monday-friday SP500wd <- wday(SP500) # Add Price and days of week together SP500wd <- cbind(SP500, SP500wd) # subset Monday into one xts object SPmon <- subset(SP500wd, SP500wd$..2=="2") I then used the...

Hello, I am trying to plot a graphic with many lines with the following command: plot(datas[1:n,1],datas[1:n,2],type="l",main="SP500 Prices and Moving Averages",xlab="Date",ylab="Prices",col="black") lines(datas[1:n,1],datas[1:n,3],type="l",col="green",lty="solid") But I just see the first curve. I have tried it on the console separately and it?s still not working...

Hi, dear R-users, I am computing a liner regression by rating category using the 'by' function as stated below: tmp <- by(projet, rating, function(x) lm(defaults ~ CGDP+CSAVE+SP500, data = x)) I would like to get not only the coefficients but also their p-values. I can't find the command in the help pages to get them. Does anyone have a suggestion ? Thank you, Benoit. [[alternative HTML version deleted]]

...9;XLK','XLY','XLF','XLB','GLD','SLV','E FA','EEM','FXA','FXE','FXY','HYG','LQD', '^GSPC') getSymbols(symbols,from='2007-01-01') getSymbols('SPY',from='2007-01-01') SP500 <- Cl(SPY) colnames(SP500)[1] <- 'SPY' #Function to build a dataframe form a list of symbols symbolFrame <- function(symbolList) { Data <- data.frame(NULL) for (S in symbolList) { Data <- cbind(Data,Cl(get(S))) } colnames(Data) <- symbolList return(Data)...

I am an R beginner and trying to run a market model using event study in R framework. First, I run a market model, that is lm(stock security~SP500 index, subset=Obs[197, 396]) ->result1 Then I get predict results for a new dataset using predict (result1, newdata=Obs[397,399]) ->pred1 Pred1 should have three numbers. Now I need to calculate abnormal return by the formula stock security [397,399] -pred1 But it does not work after...

Hi R users, I have a problem in downloading Yahoo Finance data from R. I have tried an example given in R, to download. The error is given below: >library(fCalendar) > yahooImport("s=IBM&a=11&b=1&c=1999&d=0&q=31&f=2000&z=IBM&x=.csv ", file = "D:\\ Downlaod",source = "http://ichart.yahoo.com/table.csv?", save = FALSE,

Hi, R-users, data is a matrix like this AMR BS GE HR MO UK SP500 1974 -0.3505 -0.1154 -0.4246 -0.2107 -0.0758 0.2331 -0.2647 1975 0.7083 0.2472 0.3719 0.2227 0.0213 0.3569 0.3720 1976 0.7329 0.3665 0.2550 0.5815 0.1276 0.0781 0.2384 1977 -0.2034 -0.4271 -0.0490 -0.0938 0.0712 -0.2721 -0.0718 1978 0.1663 -0.0452 -0.0573 0.2751 0.1372 -0.1346 0...

Hello all: Friend told me that we can download the stock historical quote from Yahoo site by R! Could you tell me that is true or not, how to do that? Thanks! -- View this message in context: http://r.789695.n4.nabble.com/How-download-Yahoo-Quote-tp3769563p3769563.html Sent from the R help mailing list archive at Nabble.com.

...ng a dummy var is created for 1 = Monday, 0 = else). I understand that you can create subsets and new data sets based on the conditional statements; but is there an easier way to do this by typing a line into the mean() statement? That was extremely easy in SAS where you could say: proc means data=sp500; var price; where monday = 1; Thank you for your help. Joe

hi to all! (Q1): I'd like to ask where can i find aggregateSeries and seriesData in R packages? (Q2): how can i perform these Splus commads in R? e.g. annualMax.sp500 = aggregateSeries(-spto87,by="years",FUN=max) hist(seriesData(annualMax.sp500)) (Q3): is the method of probability-weighted moments available in evir package? Thanks! Filame __________________________________________________ [[alternative HTML version deleted]]