% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/data.R
\docType{data}
\name{sp500.its}
\alias{sp500.its}
\title{S&P 500 Daily High/Low Interval Time Series}
\format{
A data frame with 504 observations and 3 variables:
\itemize{
    \item \code{date}: Trading date (Date class).
    \item \code{low}: Daily low price of the S&P 500 index.
    \item \code{high}: Daily high price of the S&P 500 index.
}
}
\source{
Yahoo Finance, ticker \code{^GSPC}. Downloaded via the
\pkg{quantmod} package.
}
\usage{
data(sp500.its)
}
\description{
Daily high and low prices of the S&P 500 index from January 2, 2004 to
December 30, 2005 (504 trading days). This dataset is a benchmark for
interval time series forecasting, matching the period used in the
foundational work by Arroyo, Gonzalez-Rivera and Mate (2011).
}
\details{
The S&P 500 is a market-capitalization-weighted index of 500 leading
publicly traded companies in the United States. Each observation
represents a trading day with the daily low and high prices forming an
interval. This dataset has been widely used to evaluate interval-valued
autoregressive models, exponential smoothing methods for intervals, and
center-and-range forecasting approaches.
}
\section{Metadata}{

\tabular{ll}{
  \strong{Sample size (n)} \tab 504 \cr
  \strong{Variables (p)} \tab 3 (date, low, high) \cr
  \strong{Subject area} \tab Finance \cr
  \strong{Symbolic format} \tab Interval time series \cr
  \strong{Analytical tasks} \tab Forecasting, Time series analysis
}
}

\examples{
data(sp500.its)
head(sp500.its)
plot(sp500.its$date, sp500.its$high, type = "l", col = "red",
     ylab = "Price", xlab = "Date", main = "S&P 500 Daily High/Low")
lines(sp500.its$date, sp500.its$low, col = "blue")
legend("topleft", c("High", "Low"), col = c("red", "blue"), lty = 1)
}
\references{
Arroyo, J., Gonzalez-Rivera, G. and Mate, C. (2011). Forecasting with
interval and histogram data: Some financial applications. In
\emph{Handbook of Empirical Economics and Finance}, pp. 247--280.
Chapman and Hall/CRC.
}
\keyword{datasets}
\keyword{finance}
\keyword{interval}
\keyword{timeseries}
