spyreal

<p>The SPDR S\&amp;P500 index open-close return and the realized kernel volatility for the period 
2002-01-02 to 2008-08-29 from the paper of Hansen, Huang and Shek (2011). Used for illustrating
the implementation of the Realized GARCH model in rugarch.</p>

datasets

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Alexios Ghalanos

rugarch

Univariate GARCH Models

Tobias Kley

spyreal function

Format

data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility — spyreal

data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

spyreal: data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

Description

Usage

Arguments

Format

References