stockreturns {GenMarkov}

Stock returns data

Description

Data from 5-week-day daily stock returns (rt = 100 x log(Pt/Pt-1), where Pt is the adjusted close price) of two indexes, S&P500 and DJIA, from November 11th 2011 to September 1st 2021. The dataset also includes the interest rate spread, the 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity. The data was retrieved from FRED.

Usage

stockreturns

Format

A tibble with 2,581 rows and 4 columns:

date

yyyy-mm-dd of the closing price

sp500

S&P500 returns' quantiles

djia

DJIA returns' quantiles

spread_1

Lagged 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity

returns_sp500

S&P500 returns

djia

DJIA returns

Source

https://fred.stlouisfed.org/series/SP500

https://fred.stlouisfed.org/series/DJIA

https://fred.stlouisfed.org/series/T10Y3M