euro07: log returns and GARCH-filtered log returns for some Euro...

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Log returns and GARCH filtered values of log returns for OSEAX FTSE AEX FCHI SSMI GDAXI ATX (market indexes in Norway, UK, Holland, France, Switzerland, Germany, Austria). This is a small data set with n=239 that can be used for illustration of functions for fitting vine and factor copulas. The original source is http://quote.yahoo.com

euro07lr has two objects: (i) euro07names has the above labels for the markets and (ii) euro07lr is a 239x7 matrix of log returns in 2007, one column for each market (the markets were merged to common dates) before returns were obtained

euro07gf has two objects: (i) euro07names has the above labels for the markets and (ii) euro07lr is a list with several matrices given below.

Usage

data(euro07lr) # objects euro07names and euro07lr
data(euro07gf) # objects euro07names and euro07gf

Format

The following are components.

filter

239x7 matrix of GARCH filtered returns

uscore

239x7 matrix of empirical U(0,1) scores of GARCH filtered returns

zscore

239x7 matrix of empirical normal scores of GARCH filtered returns

uscmodel

239x7 matrix of U(0,1) scores of GARCH filtered returns based on assuming standardized Student t distributions for the innovations

zscmodel

239x7 matrix of normal scores of GARCH filtered returns based on assuming standardized Student t distributions for the innovations

sigmat

239x7 matrix of volatilities

coef

5x7 matrix of GARCH parameter estimates

rows are mu, omega, alpha1, beta1, shape, where 'shape' is the shape or degree of freedom parameter for the Student t innovations.

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.