spyreal: data: SPDR Standard and Poors 500 Open-Close Daily Return and...
In rugarch: Univariate GARCH models
Description
Usage
Format
Source
References
Description
The SPDR S\&P500 index open-close return and the realized kernel volatility for the period
2002-01-02 to 2008-08-29 from the paper of Hansen, Huang and Shek (2011). Used for illustrating
the implementation of the Realized GARCH model in rugarch.
Usage
1
Format
An xts object.
Source
Journal of Applied Econometrics Data Archive
References
Hansen, P. R., Huang, Z., and Shek, H. H. (2012). Realized GARCH: a joint model for returns
and realized measures of volatility. Journal of Applied Econometrics, 27(6),
877–906.
rugarch documentation built on May 2, 2019, 4:43 p.m.
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Description Usage Format Source References
Description
The SPDR S\&P500 index open-close return and the realized kernel volatility for the period 2002-01-02 to 2008-08-29 from the paper of Hansen, Huang and Shek (2011). Used for illustrating the implementation of the Realized GARCH model in rugarch.
Usage
1 |
Format
An xts object.
Source
Journal of Applied Econometrics Data Archive
References
Hansen, P. R., Huang, Z., and Shek, H. H. (2012). Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics, 27(6), 877–906.
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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