spyreal: data: SPDR Standard and Poors 500 Open-Close Daily Return and...

Description Usage Format Source References

Description

The SPDR S\&P500 index open-close return and the realized kernel volatility for the period 2002-01-02 to 2008-08-29 from the paper of Hansen, Huang and Shek (2011). Used for illustrating the implementation of the Realized GARCH model in rugarch.

Usage

1

Format

An xts object.

Source

Journal of Applied Econometrics Data Archive

References

Hansen, P. R., Huang, Z., and Shek, H. H. (2012). Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics, 27(6), 877–906.


rugarch documentation built on Oct. 9, 2017, 1:09 a.m.