nasdaq: NASDAQ data
In dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
nasdaq R Documentation
NASDAQ data
Description
Daily data on NASDAQ collected from the realized library of
the Oxford-Man Institute \insertCiteheber_2009dccmidas.
Usage
data(nasdaq)
Format
An object of class "xts".
Details
nasdaq includes the open price (open_price), the realized variance
(rv5), and the close price (close_price). The realized variance has been calculated
using intradaily intervals of five minutes \insertCiteandersen_boll_1998dccmidas.
Source
Realized library of the Oxford-Man Institute
References
\insertAllCited
Examples
head(nasdaq)
summary(nasdaq)
dccmidas documentation built on May 29, 2024, 5:26 a.m.
R Package Documentation
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| nasdaq | R Documentation |
NASDAQ data
Description
Daily data on NASDAQ collected from the realized library of the Oxford-Man Institute \insertCiteheber_2009dccmidas.
Usage
data(nasdaq)
Format
An object of class "xts".
Details
nasdaq includes the open price (open_price), the realized variance (rv5), and the close price (close_price). The realized variance has been calculated using intradaily intervals of five minutes \insertCiteandersen_boll_1998dccmidas.
Source
Realized library of the Oxford-Man Institute
References
\insertAllCitedExamples
head(nasdaq)
summary(nasdaq)
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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