sp500rv

Oxford-Man Institute Daily 5 minutes Realized Volatility from 2000-01-03 to 2000-01-10
for the SP500 Index available at <a href="https://realized.oxford-man.ox.ac.uk/data">https://realized.oxford-man.ox.ac.uk/data</a>.

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

sp500rv function

A xts object containing 4,310 observations from 2000-01-03 to 2000-01-10.

Format

Oxford-Man Institute Daily 5 minutes Realized Volatility from 2000-01-03 to 2000-01-10
for the SP500 Index available at <a href='https://realized.oxford-man.ox.ac.uk/data'>https://realized.oxford-man.ox.ac.uk/data</a>.

sp500rv: Data: SP500 Daily 5 minutes Realized Volatility from 2000-01-03 to 2000-01-10

Description

Usage

Arguments

Format

References