FTSE100

A dataset that contains the daily financial data of the FTSE from
2000 to December 2020 (currency in EUR).

datasets

Enables the user to calculate Value at Risk (VaR)
and Expected Shortfall (ES) by means of various types of historical
simulation. Currently plain-, age-, volatility-weighted- and filtered
historical simulation are implemented in this package. Volatility weighting
can be carried out via an exponentially weighted moving average model
(EWMA) or other GARCH-type models. The methods of the package are described in
Gurrola-Perez, P. and Murphy, D. (2015)
<https://EconPapers.repec.org/RePEc:boe:boeewp:0525>.

Sebastian Letmathe

quarks

Simple Methods for Calculating Value at Risk and Expected
Shortfall

FTSE100 function

A data frame with 5291 rows and 10 variables:<dl class="dl-horizontal">
 <dt>price.open</dt><dd>opening price (daily)</dd>
 <dt>price.high</dt><dd>highest price (daily)</dd>
 <dt>price.low</dt><dd>lowest price (daily)</dd>
 <dt>price.close</dt><dd>closing price (daily)</dd>
 <dt>volume</dt><dd>trading volume</dd>
 <dt>price.adjusted</dt><dd>adjusted closing price (daily)</dd>
 <dt>ref.date</dt><dd>date in format YY-MM-DD</dd>
 <dt>ticker</dt><dd>ticker symbol</dd>
 <dt>ret.adjusted.prices</dt><dd>returns obtained from the adj. closing prices</dd>
 <dt>ret.closing.prices</dt><dd>returns obtained from the closing prices</dd>
</dl>

Format

Financial Times Stock Exchange Index (FTSE) Financial Time Series Data — FTSE100

A data frame with 5291 rows and 10 variables:<dl class='dl-horizontal'>
 <dt>price.open</dt><dd>opening price (daily)</dd>
 <dt>price.high</dt><dd>highest price (daily)</dd>
 <dt>price.low</dt><dd>lowest price (daily)</dd>
 <dt>price.close</dt><dd>closing price (daily)</dd>
 <dt>volume</dt><dd>trading volume</dd>
 <dt>price.adjusted</dt><dd>adjusted closing price (daily)</dd>
 <dt>ref.date</dt><dd>date in format YY-MM-DD</dd>
 <dt>ticker</dt><dd>ticker symbol</dd>
 <dt>ret.adjusted.prices</dt><dd>returns obtained from the adj. closing prices</dd>
 <dt>ret.closing.prices</dt><dd>returns obtained from the closing prices</dd>
</dl>

FTSE100: Financial Times Stock Exchange Index (FTSE) Financial Time Series Data

Description

Usage

Arguments

Format