VDW: Dow Jones Industrial Average and Nasdaq stock indices

In gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

Dow Jones Industrial Average and Nasdaq stock indices

Description

The daily (log) returns of the Dow Jones Industrial Average and the NASDAQ composite, respectively. The daily observations start at the first of January, 1990, and end in October 2001.

Usage

data(VDW)

Format

A data frame with 3082 observations on the following 2 variables.

DJIA

Log-return of Dow Jones Industrial Average.

NASDAQ

Log-return of NASDAQ.

Details

This data set has been utilized in the source below and can be downloaded from the web-site of the Journal of Applied Econometrics (see link below).

Source

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.

References

http://qed.econ.queensu.ca/jae/2002-v17.5/van_der_weide/

See Also

BVDW

Examples

data(VDW)
str(VDW)

gogarch documentation built on April 28, 2022, 3 p.m.