sp500 {dccmidas}

S&P 500 data

Description

Daily data on S&P 500 collected from the realized library of the Oxford-Man Institute (Heber et al. 2009).

Usage

data(sp500)

Format

An object of class "xts".

Details

sp500 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(sp500)
summary(sp500)