A dataset that contains the daily financial data of the VIX from
1990 to July 2019 (currency in USD).

datasets

The nonparametric trend and its derivatives in equidistant time
series (TS) with short-memory stationary errors can be estimated. The
estimation is conducted via local polynomial regression using an
automatically selected bandwidth obtained by a built-in iterative plug-in
algorithm or a bandwidth fixed by the user. A Nadaraya-Watson kernel
smoother is also built-in as a comparison. With version 1.1.0, a linearity
test for the trend function, forecasting methods and backtesting
approaches are implemented as well.
The smoothing methods of the package are described in Feng, Y., Gries, T.,
and Fritz, M. (2020) <doi:10.1080/10485252.2020.1759598>.

Dominik Schulz

smoots

Nonparametric Estimation of the Trend and Its Derivatives in TS

Yuanhua Feng

Sebastian Letmathe

Thomas Gries

Marlon Fritz

vix function

A data frame with 7452 rows and 9 variables:<dl>
 <dt>Year</dt>
<dd>the observation year</dd> <dt>Month</dt>
<dd>the observation month</dd> <dt>Day</dt>
<dd>the observation day</dd> <dt>Open</dt>
<dd>the opening price of the day</dd> <dt>High</dt>
<dd>the highest price of the day</dd> <dt>Low</dt>
<dd>the lowest price of the day</dd> <dt>Close</dt>
<dd>the closing price of the day</dd> <dt>AdjClose</dt>
<dd>the adjusted closing price of the day</dd> <dt>Volume</dt>
<dd>the traded volume</dd>
</dl>

Format

CBOE Volatility Index (VIX) Financial Time Series Data — vix

A data frame with 7452 rows and 9 variables:<dl>
 <dt>Year</dt>
<dd>the observation year</dd>

 <dt>Month</dt>
<dd>the observation month</dd>

 <dt>Day</dt>
<dd>the observation day</dd>

 <dt>Open</dt>
<dd>the opening price of the day</dd>

 <dt>High</dt>
<dd>the highest price of the day</dd>

 <dt>Low</dt>
<dd>the lowest price of the day</dd>

 <dt>Close</dt>
<dd>the closing price of the day</dd>

 <dt>AdjClose</dt>
<dd>the adjusted closing price of the day</dd>

 <dt>Volume</dt>
<dd>the traded volume</dd>


</dl>

vix: CBOE Volatility Index (VIX) Financial Time Series Data

Description

Usage

Arguments

Format