ftse100 {dccmidas} | R Documentation |
FTSE 100 data
Description
Daily data on FTSE 100 collected from the realized library of the Oxford-Man Institute (Heber et al. 2009).
Usage
data(ftse100)
Format
An object of class "xts"
.
Details
ftse100 includes the open price (open_price), the realized variance (rv5), and the close price (close_price). The realized variance has been calculated using intradaily intervals of five minutes (Andersen and Bollerslev 1998).
Source
Realized library of the Oxford-Man Institute
References
Andersen TG, Bollerslev T (1998).
“Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts.”
International Economic Review, 39, 885–905.
doi:10.2307/2527343.
Heber G, Lunde A, Shephard N, Sheppard K (2009).
“OMI's realised library, version 0.1.”
Oxford–Man Institute, University of Oxford.
Examples
head(ftse100)
summary(ftse100)
[Package dccmidas version 0.1.2 Index]