rv5: S&P 500 realized variance at 5-minutes
In rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
rv5 R Documentation
S&P 500 realized variance at 5-minutes
Description
Daily data on the realized variance of the S&P 500 collected from the realized library of
the Oxford-Man Institute \insertCiteheber_2009rumidas. The realized variance has been calculated
using intradaily intervals of five minutes \insertCiteandersen_boll_1998rumidas.
Usage
data(rv5)
Format
An object of class "xts".
Source
Realized library of the Oxford-Man Institute
References
\insertAllCited
Examples
head(rv5)
summary(rv5)
plot(rv5)
rumidas documentation built on April 4, 2025, 1:01 a.m.
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| rv5 | R Documentation |
S&P 500 realized variance at 5-minutes
Description
Daily data on the realized variance of the S&P 500 collected from the realized library of the Oxford-Man Institute \insertCiteheber_2009rumidas. The realized variance has been calculated using intradaily intervals of five minutes \insertCiteandersen_boll_1998rumidas.
Usage
data(rv5)
Format
An object of class "xts".
Source
Realized library of the Oxford-Man Institute
References
\insertAllCitedExamples
head(rv5)
summary(rv5)
plot(rv5)
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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