rut: Russel 2000

In Abdoulhaki/MDSV: Multifractal Discrete Stochastic Volatility

Russel 2000

Description

Data from Oxford-Man institute of the Russel 2000 from date "2000-01-03" to date "2021-02-24". Using close to close prices, log-retuns and realized variances are computed using formulas r_t = log(P_{t})-log(P_{t-1}) and rv_t = \sum_i r_{t,i}^2 where r_{t,i} stands for the intra-day log-returns of the date t and P_t stands for the price at day t.

Usage

data(rut)

Format

Matrix of two columns where the first column is the log-returns and the second the realized variances.

Source

Oxford-Man Realized Library

Examples

## Not run: 
data(rut)

## End(Not run)

Abdoulhaki/MDSV documentation built on July 6, 2024, 4:03 p.m.