rvsp500 | R Documentation |
Realized volatility of S&P500(Live) index of the period 2000 01 03 - 2013 11 22
A data.frame
object with two columns. First column contains date id, and the second the realized volatility for S&P500 index.
https://realized.oxford-man.ox.ac.uk/images/oxfordmanrealizedvolatilityindices-0.2-final.zip
Heber, Gerd and Lunde, Asger, and Shephard, Neil and Sheppard, Kevin Oxford-Man Institute's realized library, Oxford-Man Institute, University of Oxford (2009)
## Do not run: ## Download the data from ## https://realized.oxford-man.ox.ac.uk/images/oxfordmanrealizedvolatilityindices-0.2-final.zip ## It contains the file OxfordManRealizedVolatilityIndices.csv. ## rvi <- read.csv("OxfordManRealizedVolatilityIndices.csv",check.names=FALSE,skip=2) ## ii <- which(rvi$DateID=="20131112") ## rvsp500 <- na.omit(rvi[1:ii,c("DataID","SPX2.rv")]
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