SP500RM: SP500 Realized Measures
In HARModel: Heterogeneous Autoregressive Models
Description
Format
Source
References
Description
Realized measures from the SP500 index from April 1997 to August 2013.
Format
A large xts object.
Source
http://public.econ.duke.edu/~ap172/code.html
References
Bollerslev, T., A. J. Patton, and R. Quaedvlieg, 2016,
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting,
Journal of Econometrics, 192, 1-18.
HARModel documentation built on Aug. 31, 2019, 5:05 p.m.
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Description Format Source References
Description
Realized measures from the SP500 index from April 1997 to August 2013.
Format
A large xts object.
Source
http://public.econ.duke.edu/~ap172/code.html
References
Bollerslev, T., A. J. Patton, and R. Quaedvlieg, 2016, Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, Journal of Econometrics, 192, 1-18.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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