3  The data used here

We use three data files in these notes, all with daily US stock prices between 2003 and 2022, both unadjusted and adjusted. The data was obtained from the data vendor we usually use, EOD, and is distributed here with their permission. The files can be found on https://www.financialriskforecasting.com/data as CSV files.

  1. SP500, daily prices of the standard and Poor’s 500 index, (S&P 500), the data we used to illustrate univariate applications;
  2. SP500TR, total returns on the S&P 500;
  3. Stocks, the prices of six different stocks, chosen to represent the various sectors of the US economy, and including both winners and losers, stocks.csv. The file contains both unadjusted and adjusted prices.

We load and process these in (ch-loadingdata?).