voldata: A dataset used in the examples

Description Usage Format References

Description

This is a panel of volatilities with daily data for the 30 Dow stocks estimated using a garch(1,1) for each serie. The returns used on the garch are from the dataset dji30ret from te package rugarch.

Usage

1

Format

A dataframe with 5521 rows and 30 variables.

References

Alexios Ghalanos (2015). rugarch: Univariate GARCH models. R package version 1.3-6.


tboonman/eba_lasso_bma documentation built on Nov. 5, 2019, 10:01 a.m.