Dow Jones Industrial Average (DJIA) index
Time series of the Dow Jones Industrial Average (DJIA) index.
data("DJIA8012")A daily univariate time series from 1980-01-01 to 2012-12-31 (of class "zoo" with "Date" index).
Online complements to Franses, van Dijk and Opschoor (2014).
Franses, P.H., van Dijk, D. and Opschoor, A. (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Cambridge, UK: Cambridge University Press.
data("DJIA8012")
plot(DJIA8012)
# p.26, Figure 2.18
dldjia <- diff(log(DJIA8012))
plot(dldjia)
# p.141, Figure 6.4
plot(window(dldjia, start = "1987-09-01", end = "1987-12-31"))
# p.167, Figure 7.1
dldjia9005 <- window(dldjia, start = "1990-01-01", end = "2005-12-31")
qqnorm(dldjia9005)
qqline(dldjia9005, lty = 2)
# p.170, Figure 7.4
acf(dldjia9005, na.action = na.exclude, lag.max = 250, ylim = c(-0.1, 0.25))
acf(dldjia9005^2, na.action = na.exclude, lag.max = 250, ylim = c(-0.1, 0.25))
acf(abs(dldjia9005), na.action = na.exclude, lag.max = 250, ylim = c(-0.1, 0.25))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.