Financial Time Series

Demonstration Program

This example demonstrates a practical use of the Financial Time Series Toolbox, predicting the return of a stock from a given set of data. The data is a series of closing stock prices, a series of dividend payments from the stock, and an explanatory series (in this case a market index). Additionally, the example calculates the dividend rate from the stock data provided.

Note    You can find a script M-file for this demonstration program in the directory <matlab>/toolbox/ftseries/ftsdemos on your MATLAB path. The script is named predict_ret.m.

The series of steps needed to perform these computations is:

1. Load the data.
2. Create financial time series objects from the loaded data.
3. Create the series from dividend payment for adjusting the closing prices.
4. Adjust the closing prices and make them the spot prices.
5. Create the return series.
6. Regress the return series against the metric data (e.g., a market index) using the MATLAB \ operator.
7. Plot the results.
8. Calculate the dividend rate.

Examples

Load the Data