df_mfgarch {mfGARCH}

Mixed-frequency data set.

Description

A dataset containing the S&P 500 stock returns, realized variances and macroeconomic variables

Usage

df_mfgarch

Format

A data frame with 11,938 rows and 11 variables:

date

date

return

daily S&P 500 log returns times 100

open_close

open-close returns

rv

5-minute realized variances

vix

Cboe VIX

year_week

a dummy for each year/week combination

dhousing

changes in housing starts

dindpro

changes in industrial production

nai

NAI

nfci

National Financial Conditions Index

year_month

a dummy for each year/month combination

Source

https://github.com/onnokleen/mfGARCH/

https://finance.yahoo.com/

https://fred.stlouisfed.org

https://realized.oxford-man.ox.ac.uk