nasdaq {betategarch} | R Documentation |
Daily Apple stock returns
Description
The dataset contains two variables, day and nasdaqret. Day is the date of the return and nasdaqret is the daily (closing value) log-return in percent of the Apple stock over the period 10 September 1985 - 10 May 2011 (a total of 6835 observations).
Usage
data(nasdaq)
Format
A data frame with 3215 observations:
day
a factor
nasdaqret
a numeric vector
Details
The data is studied in more detail in Harvey and Sucarrat (2014), and in Sucarrat (2013).
Source
The source of the original raw data is http://yahoo.finance.com/.
References
Harvey and Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338.
Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147.
Examples
data(nasdaq) #load data into workspace
mymod <- tegarch(nasdaq[,"nasdaqret"]) #estimate volatility model of Apple returns
print(mymod)