epu: Stock returns and uncertainty index.
In JasonZhang2333/GarchMidas: GarchMidas
Description
A dataset containing SSE (Shanghai Stock Exchange) Composite Index returns and the China Economic Policy Uncertainty Index
Usage
1
Format
A data frame with 3,789 rows and 7 variables:
- date
date
- month
a dummy for each year/month combination
- return
daily SSE log returns
- hundredfold_return
daily SSE log returns times 100
- rv
5-minute realized variances
- epu
Economic Policy Uncertainty Index divided by 100
- hundredfold_epu
Economic Policy Uncertainty Index
JasonZhang2333/GarchMidas documentation built on Dec. 3, 2019, 12:47 a.m.
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Description
A dataset containing SSE (Shanghai Stock Exchange) Composite Index returns and the China Economic Policy Uncertainty Index
Usage
1 |
Format
A data frame with 3,789 rows and 7 variables:
- date
date
- month
a dummy for each year/month combination
- return
daily SSE log returns
- hundredfold_return
daily SSE log returns times 100
- rv
5-minute realized variances
- epu
Economic Policy Uncertainty Index divided by 100
- hundredfold_epu
Economic Policy Uncertainty Index
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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