[tech-spec] VIX script again, a bit less bare-bones
- From: Steve Wisdom <swisdom@xxxxxxxxx>
- To: tech-spec@xxxxxxxxxxxxx
- Date: Tue, 26 Oct 2004 17:12:13 -0400
--
info<- function(M) {str(M); rbind(head(M),tail(M))}
VIX <- read.table('http://dailyspeculations.com/VIX.txt')
VIXE<- VIX[!VIX$Year%%4,]
info(VIX); info(VIXE)
round(matrix(with(VIX ,by(Chg,Month,mean))),2) #All years
round(matrix(with(VIXE,by(Chg,Month,mean))),2) #Election only
R.version.string
> VIX <- read.table('http://dailyspeculations.com/VIX.txt')
> VIXE<- VIX[!VIX$Year%%4,]
> info(VIX); info(VIXE)
`data.frame': 176 obs. of 4 variables:
$ Year : int 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 ...
$ Month: int 2 3 4 5 6 7 8 9 10 11 ...
$ VIX : num 22.0 19.7 19.5 17.4 15.5 ...
$ Chg : num -3.37 -2.26 -0.21 -2.15 -1.87 5.61 8.79 -0.79 0.93 -7.88 ...
Year Month VIX Chg
2/28/1990 1990 2 21.99 -3.37
3/30/1990 1990 3 19.73 -2.26
4/30/1990 1990 4 19.52 -0.21
5/31/1990 1990 5 17.37 -2.15
6/29/1990 1990 6 15.50 -1.87
7/31/1990 1990 7 21.11 5.61
4/30/2004 2004 4 17.19 0.45
5/31/2004 2004 5 15.50 -1.69
6/30/2004 2004 6 14.34 -1.16
7/30/2004 2004 7 15.32 0.98
8/31/2004 2004 8 15.29 -0.03
9/30/2004 2004 9 13.34 -1.95
`data.frame': 45 obs. of 4 variables:
$ Year : int 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 ...
$ Month: int 1 2 3 4 5 6 7 8 9 10 ...
$ VIX : num 17.4 16.7 16.2 15.5 13.9 ...
$ Chg : num -1.91 -0.72 -0.5 -0.65 -1.67 -0.51 -0.18 0.41 0.7 1.87 ...
Year Month VIX Chg
1/31/1992 1992 1 17.40 -1.91
2/28/1992 1992 2 16.68 -0.72
3/31/1992 1992 3 16.18 -0.50
4/30/1992 1992 4 15.53 -0.65
5/29/1992 1992 5 13.86 -1.67
6/30/1992 1992 6 13.35 -0.51
4/30/2004 2004 4 17.19 0.45
5/31/2004 2004 5 15.50 -1.69
6/30/2004 2004 6 14.34 -1.16
7/30/2004 2004 7 15.32 0.98
8/31/2004 2004 8 15.29 -0.03
9/30/2004 2004 9 13.34 -1.95
> round(matrix(with(VIX ,by(Chg,Month,mean))),2) #All years
[,1]
[1,] -1.21
[2,] 0.41
[3,] 0.13
[4,] -1.22
[5,] -1.04
[6,] -0.66
[7,] 1.70
[8,] 1.78
[9,] 1.44
[10,] -0.78
[11,] -1.47
[12,] -0.11
> round(matrix(with(VIXE,by(Chg,Month,mean))),2) #Election only
[,1]
[1,] -0.82
[2,] 0.03
[3,] 1.07
[4,] -0.29
[5,] -1.42
[6,] -2.04
[7,] 1.95
[8,] -1.49
[9,] 0.60
[10,] 2.03
[11,] 0.64
[12,] 0.18
> R.version.string
[1] "R version 2.0.0, 2004-10-04"
>
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