risk_forecasts | R Documentation |
A dataset containing the daily log returns and risk forecasts for the S&P 500 index. The quantile and expected shortfall forecasts are for the probability level 2.5%.
data(risk_forecasts)
A data.frame with 4396 rows and 4 variables
Description of the variables:
Daily log returns from January 3, 2000 to September 29, 2017 (4465 days)
Value-at-Risk forecasts of the Historical Simulation approach
Expected shortfall forecasts of the Historical Simulation approach
Volatility forecasts of the Historical Simulation approach
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