df_mfgarch: Mixed-frequency data set.
In onnokleen/mfGARCH: Mixed-Frequency GARCH Models
df_mfgarch R Documentation
Mixed-frequency data set.
Description
A dataset containing the S&P 500 stock returns, realized variances and macroeconomic variables
Usage
df_mfgarch
Format
A data frame with 11,938 rows and 11 variables:
- date
date
- return
daily S&P 500 log returns times 100
- open_close
open-close returns
- rv
5-minute realized variances
- vix
Cboe VIX
- year_week
a dummy for each year/week combination
- dhousing
changes in housing starts
- dindpro
changes in industrial production
- nai
NAI
- nfci
National Financial Conditions Index
- year_month
a dummy for each year/month combination
Source
onnokleen/mfGARCH documentation built on Feb. 6, 2023, 12:10 p.m.
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| df_mfgarch | R Documentation |
Mixed-frequency data set.
Description
A dataset containing the S&P 500 stock returns, realized variances and macroeconomic variables
Usage
df_mfgarch
Format
A data frame with 11,938 rows and 11 variables:
- date
date
- return
daily S&P 500 log returns times 100
- open_close
open-close returns
- rv
5-minute realized variances
- vix
Cboe VIX
- year_week
a dummy for each year/week combination
- dhousing
changes in housing starts
- dindpro
changes in industrial production
- nai
NAI
- nfci
National Financial Conditions Index
- year_month
a dummy for each year/month combination
Source
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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