First we’ll get the prices of two ETFs, one is the S&P 500 tracker (SPY) and the other is the US 7-10y Treasury ETF (IEF). For the purpose of regression we will convert into log returns: Now the linear regression where we model the daily S&P 500 returns using the […]
This gets the S&P 500 time series from Yahoo using the tseries package function get.hist.quote which returns a zoo object. As we’re using ggplot2 we have to convert the zoo series into a data frame.
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library(zoo) library(ggplot2) library(tseries) spx <- get.hist.quote(instrument="^gspc", start="2000-01-01", end=Sys.Date(), quote="AdjClose", provider="yahoo", origin="1970-01-01", compression="d", retclass="zoo") spx.df <- data.frame(x=time(spx),y=spx$AdjClose) ggplot(spx.df) + geom_line(aes(x=x,y=y)) + theme_bw() |
Alternatively if you don’t want to use ggplot2 the old-school plot function works just […]
Finally this is a stand-alone page because it’s written in R markdown which is not WordPress friendly: Everything you need to know about finance using Robert Shiller’s data
