dji30ret

This dataset is taken from the <code>rugarch</code> package of Ghalanos (2015). Returns are in percentage points. 

Dow Jones 30 Constituents closing value log returns from 1987-03-16 to
2009-02-03 from Yahoo Finance. Note that AIG was replaced by KFT (Kraft Foods)
on September 22, 2008. This is not reflected in this data set as that would
bring the starting date of the data to 2001.

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

dji30ret function

A data.frame containing 5,521x30 observations.

Format

This dataset is taken from the <code>rugarch</code> package of Ghalanos (2015). Returns are in percentage points. 

Dow Jones 30 Constituents closing value log returns from 1987-03-16 to
2009-02-03 from Yahoo Finance. Note that AIG was replaced by KFT (Kraft Foods)
on September 22, 2008. This is not reflected in this data set as that would
bring the starting date of the data to 2001.

dji30ret: data: Dow Jones 30 Constituents Closing Value Log Return in percentage points

Description

Usage

Arguments

Format

References