df_mfgarch {mfGARCH} | R Documentation |
A dataset containing the S&P 500 stock returns, realized variances and macroeconomic variables
df_mfgarch
A data frame with 11,938 rows and 11 variables:
date
daily S&P 500 log returns times 100
open-close returns
5-minute realized variances
Cboe VIX
a dummy for each year/week combination
changes in housing starts
changes in industrial production
NAI
National Financial Conditions Index
a dummy for each year/month combination
https://github.com/onnokleen/mfGARCH/
https://realized.oxford-man.ox.ac.uk