GARCH Models with EU Stock Market Data

Richard M. Smith
June 13, 2015

Overview

Using the EuStockMarkets data in the utils package, we provide a method for running GARCH models from the tseries package on windows of time for the 4 major European stock markets.

The application can be found on RStudio's shiny server here

Use this application to examine trends over differing time periods and the strength of a GARCH model across these.

EU Stock Markets Data Summary

Daily closing prices 1991-1998 for major European stock indices. plot of chunk unnamed-chunk-1

Basic Data Structure

 mts [1:1860, 1:4] 1629 1614 1607 1621 1618 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:4] "DAX" "SMI" "CAC" "FTSE"
 - attr(*, "tsp")= num [1:3] 1991 1999 260
 - attr(*, "class")= chr [1:3] "mts" "ts" "matrix"

Application Overview

  1. First pick the date range you want to examine.
    • First choose a year and month, then a specific date
    • Click outside the date picker to close the window
  2. Choose which of the 4 European markets you would like to examine

The plot will automatically update with the black line representing the actual series and a dotted red line showing a GARCH model using predict.garch from the tseries package.

Notes

  • Due to the nature of using window, the plots render only full months regardless of the specific date picked.
  • Indices:
    • DAX: Germany
    • SMI: Switzerland
    • CAC: France
    • FTSE: UK