StockIndices

<p>Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40
from 2007-01-03 to 2016-06-24 obtained from Yahoo.</p>

datasets

Simulate, estimate and forecast using univariate and multivariate GAS models
as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.

Leopoldo Catania

Generalized Autoregressive Score Models

David Ardia

Kris Boudt

StockIndices function

<p>A <code>matrix</code> object of dimension 2,445 x 3 containing the daily logarithmic returns
in percentage points from 2007-01-03 to 2016-06-24. Missing values are simply removed.</p>

StockIndices: Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24

Description

Usage

Arguments

Format

References