sp500: Negative log-returns of S&P 500.

In ExtremeRisks: Extreme Risk Measures

Description

Series of negative log-returns of the U.S. stock market index Standard and Poor 500.

Format

A 8784*2 data frame.

Details

From the series of n = 8785 closing prices S_{t}, t=1,2,..., for the Standard and Poor 500 stock market index, recorded from January 29, 1985 to December 12, 2019, the series of negative log-returns.

X_{t+1} = - log(S_{t+1}/S_t), 1<= t <= n-1

is available. Hence the dataset (negative log-returns) contains 8784 observations.

ExtremeRisks documentation built on Aug. 20, 2020, 3 p.m.