rugarch: spyreal – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

spyreal

data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

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

data(spyreal)

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

Univariate GARCH Models

v1.4-4

GPL-3

Authors

Alexios Ghalanos [aut, cre], Tobias Kley [ctb]

Initial release

2020-07-14