spyreal: data: SPDR Standard and Poors 500 Open-Close Daily Return and...
In rugarch: Univariate GARCH Models
spyreal R Documentation
data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility
Description
The SPDR SP500 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
data(spyreal)
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 Sept. 30, 2024, 9:30 a.m.
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| spyreal | R Documentation |
data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility
Description
The SPDR SP500 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
data(spyreal)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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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