RV: Daily realized variance
In tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions
RV R Documentation
Daily realized variance
Description
A dataset containing the daily realized variance, and some of its lags,
obtained from 1-minute close prices of the SP 500. Similar data has
been used in the HAR model in Corsi (2009), the HARQ and SHARQ models in
Bollerslev et al (2016) and the TVHARQ and TVSHARQ models in
Casas et al (2018). The time period runs from Feb 1990 until
Dec 2006.
Format
A data frame with 4264 rows and 6 variables.
- Date
Daily data from Feb 1, 1990 until Dec 29, 2006 - without
weekends and days off
- RV
Daily realized variance at time t
- RV_lag
Daily realized variance at time t-1
- RV_week
Weekly average realized variance at time t-5
- RV_month
Monthly average realized variance at time t-22
- RQ_lag_sqrt
Daily squared root of the realized quarticity at time t-1
References
Bollerslev, T., Patton, A. J. and Quaedvlieg, R. (2016) Exploiting the
errors: A simple approach for improved volatility forecasting.
Journal of Econometrics, 192, 1-18.
Bollerslev, T., Tauchen, G. and Zhou, H. (2009) Expected stock returns
and variance risk premia. The Review of Financial Studies, 22, 44-63.
Casas, I., Mao, X. and Vega, H. (2018) Reexamining financial and economic
predictability with new estimators of realized variance and variance
risk premium. Url= http://pure.au.dk/portal/files/123066669/rp18_10.pdf
Corsi, F. (2009) A simple approximate long-memory model of realized
volatility. Journal of Financial Econometrics, 7, 174-196.
tvReg documentation built on Sept. 1, 2023, 5:07 p.m.
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.
| RV | R Documentation |
Daily realized variance
Description
A dataset containing the daily realized variance, and some of its lags, obtained from 1-minute close prices of the SP 500. Similar data has been used in the HAR model in Corsi (2009), the HARQ and SHARQ models in Bollerslev et al (2016) and the TVHARQ and TVSHARQ models in Casas et al (2018). The time period runs from Feb 1990 until Dec 2006.
Format
A data frame with 4264 rows and 6 variables.
- Date
Daily data from Feb 1, 1990 until Dec 29, 2006 - without weekends and days off
- RV
Daily realized variance at time t
- RV_lag
Daily realized variance at time t-1
- RV_week
Weekly average realized variance at time t-5
- RV_month
Monthly average realized variance at time t-22
- RQ_lag_sqrt
Daily squared root of the realized quarticity at time t-1
References
Bollerslev, T., Patton, A. J. and Quaedvlieg, R. (2016) Exploiting the errors: A simple approach for improved volatility forecasting. Journal of Econometrics, 192, 1-18.
Bollerslev, T., Tauchen, G. and Zhou, H. (2009) Expected stock returns and variance risk premia. The Review of Financial Studies, 22, 44-63.
Casas, I., Mao, X. and Vega, H. (2018) Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. Url= http://pure.au.dk/portal/files/123066669/rp18_10.pdf
Corsi, F. (2009) A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7, 174-196.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.