BVDWSTOXX {gogarch}

Sector indices of the EURO STOXX 600

Description

The data frame contains the following sector indices of the EURO STOXX 600 index: Automobiles \& Parts, Banks, Basic Resources, Chemicals, Construction and Materials, Financial Services, Food \& Beverages, Health Care, Industrial Goods \& Services, Insurance, Media, Oil \& Gas, Technology, Telecommunications and Utilities. The data range is from 31th December 1986 until 21st November 2008.

Usage

data(BVDWSTOXX)

Format

A data frame with 5652 observations on the following 16 variables.

Date

POSIXt: The dates of observations.

AutoParts

Sector index Automobiles \& Parts

Banks

Sector index Banks

BasicRes

Sector index Basic Resources

Chemicals

Sector index Chemicals

ConstrMat

Sector index Construction and Materials

FoodBeverage

Sector index Food \& Beverages

FinService

Sector index Financial Services

HealthCare

Sector index Health Care

IndustrialGoods

Sector index Industrial Goods \& Services

Insurance

Sector index Insurance

Media

Sector index Media

OilGas

Sector index Oil \& Gas

Technology

Sector index Technology

Telecom

Sector index Telecommunications

Utilities

Sector index Utilities

Source

http://www.stoxx.com

References

Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.

Examples

data(BVDWSTOXX)
str(BVDWSTOXX)