df_financial {mfGARCH} | R Documentation |
Stock returns and financial conditions.
Description
A dataset containing the S&P 500 stock returns and the NFCI
Usage
df_financial
Format
A data frame with 11,306 rows and 5 variables:
- date
date
- return
daily S&P 500 log returns times 100
- rv
5-minute realized variances
- week
a dummy for each year/week combination
- nfci
National Financial Conditions Index
Source
https://github.com/onnokleen/mfGARCH/
https://fred.stlouisfed.org/series/NFCI
https://realized.oxford-man.ox.ac.uk
[Package mfGARCH version 0.2.1 Index]