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Chapter 1 Descriptive Statistics for Financial Data

Chapter 1 Descriptive Statistics forFinancial DataUpdated: February 3, 2015In this Chapter we use graphical and numerical Descriptive Statistics tostudy the distribution and dependence properties of daily and monthly assetreturns on a number of representative assets. The purpose of this chapteris to introduce the techniques of exploratory data analysis forfinancial timeseries and to document a set of stylized facts for monthly and daily assetreturns that will be used in later chapters to motivate probability models forasset R packages used in this Chapter arecorrplot,PerformanceAna-lytics,tserie sandzoo. Make sure these packages are installed and loadedbefore running the R UnivariateDescriptiveStatisticsLet{ }denote a univariate time series of asset returns (simple or continu-ously compounded).

Feb 03, 2015 · 1.1.1 Example Data We illustrate the descriptive statistical analysis using daily and monthly ad-justed closing prices on Microsoft stock and the S&P 500 index over the period January 1, 1998 and May 31, 2012. 1 These data are obtained from finance.yahoo.com.Wefirst use the daily and monthly data to illustrate

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