gogarch (version 0.7-5)

BVDWAIR: Stock prices transportation sector, oil and kerosene prices

Description

This data frame contains the stock prices from American Airlines, South-West Airlines, Boeing and FedEx. In addition the spot prices for crude oil and kerosene are included. This data set was used in the article by Boswijk and van der Weide (2009). The data range is from July, 19 1993 until August, 12 2008.

Usage

data(BVDWAIR)

Format

A data frame with 3791 observations on the following 7 variables.

Date

POSIXt: The dates of observations.

CrudeOil

Crude oil price.

Kerosene

Kerosene price.

AmericanAir

Stock prices of American Airlines.

SouthWest

Stock prices of South-West Airlines.

Boeing

Stock prices of Boeing.

FedEx

Stock prices of Boeing.

Details

The stock price data was downloaded from Yahoo Finance and the price series for crude oil and kerosene were obtained from the U.S. Energy Information Administration (EIA).

References

Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.

Examples

# NOT RUN {
data(BVDWAIR)
str(BVDWAIR)
# }