StockIndices: Data: Daily logarithmic returns in percentage points of the...
In aadegboyega/GASModel-Extensions: Generalized Autoregressive Score Models

StockIndices

R Documentation

Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24

Description

Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24 obtained from Yahoo.

Usage

data("StockIndices")

Format

A matrix object of dimension 2,445 x 3 containing the daily logarithmic returns in percentage points from 2007-01-03 to 2016-06-24. Missing values are simply removed.

References

Yahoo finance.

Examples

## Not run: 
library("quantmod")

Ticker = c( "^GDAXI", "FTSEMIB.MI", "^FCHI" )

From = "2007-01-01"
To = "2016-06-24"

StockEnv = new.env(has = TRUE)

getSymbols(Ticker, from = From, to = To, env = StockEnv)

mPrices = do.call(cbind, eapply(StockEnv, Ad ))

mRet = diff( log( mPrices ) )

colnames(mRet) = c( "DAX", "FTSEMIB", "CAC40" )

StockIndices = mRet[-1, ]

## End(Not run)

aadegboyega/GASModel-Extensions documentation built on Jan. 17, 2025, 3:40 a.m.