SP500

A dataset that contains the daily financial data of the SP500 from
2000 to December 2023 (currency in USD).

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 performance can be assessed via
Traffic Light Test, Coverage Tests and Loss Functions. The methods of the
package are described in Gurrola-Perez, P. and Murphy, D. (2015)
<https://EconPapers.repec.org/RePEc:boe:boeewp:0525> as well as McNeil, J.,
Frey, R., and Embrechts, P. (2015) <https://ideas.repec.org/b/pup/pbooks/10496.html>.

Sebastian Letmathe

quarks

Simple Methods for Calculating and Backtesting Value at Risk and
Expected Shortfall

SP500 function

A data frame with 6037 rows and 11 variables:<dl>
 <dt>ticker</dt>
<dd>id of the stock</dd> <dt>ref_date</dt>
<dd>date in format YY-MM-DD</dd> <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>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> <dt>cumret_adjusted_prices</dt>
<dd>accumulated arithmetic/log return for the period</dd>
</dl>

Format

Standard and Poor`s (SP500) Financial Time Series Data — SP500

A data frame with 6037 rows and 11 variables:<dl>
 <dt>ticker</dt>
<dd>id of the stock</dd>

 <dt>ref_date</dt>
<dd>date in format YY-MM-DD</dd>

 <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>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>

 <dt>cumret_adjusted_prices</dt>
<dd>accumulated arithmetic/log return for the period</dd>


</dl>

SP500: Standard and Poor`s (SP500) Financial Time Series Data

Description

Usage

Arguments

Format