df_financial: Stock returns and financial conditions.

df_financialR Documentation

Stock returns and financial conditions.

Description

A dataset containing the S&P 500 stock returns and the NFCI

Usage

df_financial

Format

A data frame with 11,306 rows and 5 variables:

date

date

return

daily S&P 500 log returns times 100

rv

5-minute realized variances

week

a dummy for each year/week combination

nfci

National Financial Conditions Index

Source

https://github.com/onnokleen/mfGARCH/

https://finance.yahoo.com/

https://fred.stlouisfed.org/series/NFCI

https://realized.oxford-man.ox.ac.uk


onnokleen/mfGARCH documentation built on Feb. 6, 2023, 12:10 p.m.