rvsp500: Realized volatility of S&P500 index

In midasr: Mixed Data Sampling Regression

Description

Realized volatility of S&P500(Live) index of the period 2000 01 03 - 2013 11 22

Format

A data.frame object with two columns. First column contains date id, and the second the realized volatility for S&P500 index.

Source

https://realized.oxford-man.ox.ac.uk/images/oxfordmanrealizedvolatilityindices-0.2-final.zip

References

Heber, Gerd and Lunde, Asger, and Shephard, Neil and Sheppard, Kevin Oxford-Man Institute's realized library, Oxford-Man Institute, University of Oxford (2009)

Examples

## Do not run:
## Download the data from
## https://realized.oxford-man.ox.ac.uk/images/oxfordmanrealizedvolatilityindices-0.2-final.zip
## It contains the file OxfordManRealizedVolatilityIndices.csv.

## rvi <- read.csv("OxfordManRealizedVolatilityIndices.csv",check.names=FALSE,skip=2)
## ii <- which(rvi$DateID=="20131112")
## rvsp500 <- na.omit(rvi[1:ii,c("DataID","SPX2.rv")]

midasr documentation built on Feb. 23, 2021, 5:11 p.m.