GoldStocksBonds

Trivariate data set consisting of daily gold, S&amp;P 500 and U.S. Treasury Bond Future returns from October 1991 to October 2021.

datasets

Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.

Markus J. Fülle

BEKKs

Multivariate Conditional Volatility Modelling and Forecasting

Alexander Lange

Christian M. Hafner

Helmut Herwartz

GoldStocksBonds function

A time series matrix of class mts 7346 observations on the following 3 variables.<dl>
 <dt>Gold</dt>
<dd>a numeric vector</dd> <dt>S&amp;P 500</dt>
<dd>a numeric vector</dd> <dt>US Treasury Bond Future</dt>
<dd>a numeric vector</dd> 
</dl>

Format

Gold stock and Bond returns — GoldStocksBonds

A time series matrix of class mts 7346 observations on the following 3 variables.<dl>
 <dt>Gold</dt>
<dd>a numeric vector</dd>

 <dt>S&amp;P 500</dt>
<dd>a numeric vector</dd>

 <dt>US Treasury Bond Future</dt>
<dd>a numeric vector</dd>

 
</dl>

GoldStocksBonds: Gold stock and Bond returns

Description

Usage

Arguments

Format

Examples