Description Usage Format Details

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%.

1 |

A data.frame with 4396 rows and 4 variables

Description of the variables:

- r
Daily log returns from January 3, 2000 to September 29, 2017 (4465 days)

- q
Value-at-Risk forecasts of the Historical Simulation approach

- e
Expected shortfall forecasts of the Historical Simulation approach

- s
Volatility forecasts of the Historical Simulation approach

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.