rv5 {rumidas} | R Documentation |
Daily data on the realized variance of the S&P 500 collected from the realized library of the Oxford-Man Institute (Heber et al. 2009). The realized variance has been calculated using intradaily intervals of five minutes (Andersen and Bollerslev 1998).
data(rv5)
An object of class "xts"
.
Realized library of the Oxford-Man Institute
Andersen TG, Bollerslev T (1998).
“Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts.”
International Economic Review, 39, 885–905.
doi:10.2307/2527343.
Heber G, Lunde A, Shephard N, Sheppard K (2009).
“OMI's realised library, version 0.1.”
Oxford–Man Institute, University of Oxford.
head(rv5)
summary(rv5)
plot(rv5)