rol.vol {Spillover}

Two-days Rolling Average Intra-day Volatilities

Description

A dataset of class zoo consisting of 1633 two-days rolling average observations on intraday volatilities based on Garman and Klass (1980) for six leading stock indices: S&P 500 (US), FTSE 100 (UK), EURO STOXX 50 (Eurozone), BOVESPA (Brazil), NIKKEI 225 (Japan) and S&P ASX 200 (Australia). EURO STOXX 50 covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The period for this dataset is from June 13, 2003 to September 15, 2009. All series are in US Dollars.

Format

a zoo-class dataset

Examples

data(rol.vol)
head(rol.vol)  # First 6 observations
tail(rol.vol)  # Last 6 observations