US.returns: U.S. Stock Returns

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

U.S. Stock Returns

Description

The dataset comprises observations of both continuously compounded and simple returns derived from the S&P 500 index, along with the first difference of the Chicago Board Options Exchange Market Volatility Index (VIX). The sample period spans from January 5, 1990, to March 30, 2012.

Usage

data(US.returns)

Format

A data frame with 5606 rows and 4 variables:

Date

A vector indicating the date of each observation.

CCR

A numeric vector giving the continuously compounded returns.

SR

A numeric vector giving the simple returns.

dVIX

A numeric vector giving (the first difference of) the Chicago Board Options Exchange Market Volatility Index (VIX).

References

Massacci, D. (2014) A two-regime threshold model with conditional skewed student-t distributions for stock returns. Economic Modelling, 43, 9-20.

Examples

data(US.returns)
dev.new()
plot(ts(as.matrix(US.returns[,-1])), main="Returns and (the first difference of) VIX")

mtarm documentation built on Jan. 12, 2026, 1:07 a.m.