sample_data {GARCHIto}

CSI 300 Index Realized Measures

Description

This sample data set contains realized measures, such as realized volatility (RV), bi-power realized volatility (BPV) and jump variation (JV) estimated from CSI 300 Index high-frequency data, it also includes daily low-frequency log returns (return).

Usage

sample_data

Format

An object with the following elements:

RV

times series of daily realized volatility estimates

BPV

times series of daily bi-power realized volatility estimates

JV

time series of daily jump variation estimates

return

time series of daily low-frequency returns