Anon

Introduction to Time Series Analysis 107

FIguRE 5.2 Decomposition of Time Series into Trend T, Seasonal Component S, and
Irregular Component I

t

xt

Seasonal component (S)

Irregular component (I)

Linear trend (T)

Observed time series

FIguRE 5.3 Daily Returns of S&P 500 Stock Index between January 2, 1996, and
December 31, 2003

0 200 400 600 800 1000

Days

−0.08 1200 1400 1600 1800 2000

−0.06

−0.04

−0.02

0

Daily Return

0.02

0.04

0.06