BVDWSTOXX: Sector indices of the EURO STOXX 600
In gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

BVDWSTOXX

R Documentation

Sector indices of the EURO STOXX 600

Description

The data frame contains the following sector indices of the EURO STOXX 600 index: Automobiles \& Parts, Banks, Basic Resources, Chemicals, Construction and Materials, Financial Services, Food \& Beverages, Health Care, Industrial Goods \& Services, Insurance, Media, Oil \& Gas, Technology, Telecommunications and Utilities. The data range is from 31th December 1986 until 21st November 2008.

Usage

data(BVDWSTOXX)

Format

A data frame with 5652 observations on the following 16 variables.

Date: POSIXt: The dates of observations.
AutoParts: Sector index Automobiles \& Parts
Banks: Sector index Banks
BasicRes: Sector index Basic Resources
Chemicals: Sector index Chemicals
ConstrMat: Sector index Construction and Materials
FoodBeverage: Sector index Food \& Beverages
FinService: Sector index Financial Services
HealthCare: Sector index Health Care
IndustrialGoods: Sector index Industrial Goods \& Services
Insurance: Sector index Insurance
Media: Sector index Media
OilGas: Sector index Oil \& Gas
Technology: Sector index Technology
Telecom: Sector index Telecommunications
Utilities: Sector index Utilities

Source

http://www.stoxx.com

References

Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.