rv5 {rumidas}

S&P 500 realized variance at 5-minutes

Description

Daily data on the realized variance of the S&P 500 collected from the realized library of the Oxford-Man Institute (Heber et al. 2009). The realized variance has been calculated using intradaily intervals of five minutes (Andersen and Bollerslev 1998).

Usage

data(rv5)

Format

An object of class "xts".

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(rv5)
summary(rv5)
plot(rv5)