DJIA8012 {AER} | R Documentation

## Dow Jones Industrial Average (DJIA) index

### Description

Time series of the Dow Jones Industrial Average (DJIA) index.

### Usage

    data("DJIA8012")

### Format

A daily univariate time series from 1980-01-01 to 2012-12-31 (of class `"zoo"` with `"Date"` index).

### Source

Online complements to Franses, van Dijk and Opschoor (2014).

http://www.cambridge.org/us/academic/subjects/economics/econometrics-statistics-and-mathematical-economics/time-series-models-business-and-economic-forecasting-2nd-edition

### References

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.

### Examples

    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))

[Package AER version 1.2-5 Index]