data-raw/realized_library_data.R

In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis

# Mixed-frequency financial data frame -------------------------
rm(list= ls()[])
library(dplyr, warn.conflicts = FALSE)

# Download realized measures of volatility -----------------------
download.file("https://realized.oxford-man.ox.ac.uk/images/oxfordmanrealizedvolatilityindices.zip",
              destfile = "data-raw/OxfordManRealizedVolatilityIndices.zip")
system("unzip -o data-raw/OxfordManRealizedVolatilityIndices.zip -d data-raw/")

realizedLibrary <-
  read_csv("data-raw/oxfordmanrealizedvolatilityindices.csv") %>%
  filter(Symbol == ".SPX") %>%
  mutate(X1 = as.Date(substring(X1, 1, 10))) %>%
  rename(date = X1,
         symbol = Symbol) %>%
  mutate(symbol = as.character(symbol)) %>%
  filter(date <= "2019-12-31")

save(realizedLibrary, file = "data/realizedLibrary.rda")