nasdaq: Daily Apple stock returns

In betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Description

The dataset contains two variables, day and nasdaqret. Day is the date of the return and nasdaqret is the daily (closing value) log-return in percent of the Apple stock over the period 10 September 1985 - 10 May 2011 (a total of 6835 observations).

Usage

data(nasdaq)

Format

A data frame with 3215 observations:

day

a factor

nasdaqret

a numeric vector

Details

The data is studied in more detail in Harvey and Sucarrat (2014), and in Sucarrat (2013).

Source

The source of the original raw data is http://yahoo.finance.com/.

References

Harvey and Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338.
Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147.

Examples

data(nasdaq) #load data into workspace
mymod <- tegarch(nasdaq[,"nasdaqret"]) #estimate volatility model of Apple returns
print(mymod)

betategarch documentation built on May 2, 2019, 10:15 a.m.