Realized {starvars}

Monthly time series used to test VLSTAR models.

Description

This data set contains the series of realized covariances in 4 stock market indices, i.e. SP-500, Nikkei, DAX, and FTSE, Dividend Yield and Earning Price growth rate, inflation growth rates for U.S., U.K., Japan and Germany, from August 1990 to June 2018.

Usage

  data(Realized)

Format

A zoo data frame with 334 monthly observations, ranging from 1990:M8 until 2018:M6.

SP	Monthly realized variances of S&P 500 index.
SP-NIKKEI	Monthly realized covariances between S&P 500 and Nikkei.
SP-FTSE	Monthly realized covariances between S&P 500 and FTSE.
SP-DAX	Monthly realized covariances between S&P 500 and DAX.
NIKKEI	Monthly realized variances of Nikkei index.
NIKKEI-FTSE	Monthly realized covariances between Nikkei and FTSE.
NIKKEI-DAX	Monthly realized covariances between Nikkei and DAX.
FTSE	Monthly realized variances of FTSE index.
FTSE-DAX	Monthly realized covariances between FTSE and DAX.
DAX	Monthly realized variances of DAX index.
DP	Monthly Dividends growth rate over the past year relative to current market prices; S&P 500 index.
EP	Monthly Earnings growth rate over the past year relative to current market prices; S&P500 index.
Inf_US	US monthly Industrial Production growth.
Inf_UK	UK monthly Industrial Production growth.
Inf_JPN	Japan monthly Industrial Production growth.
Inf_GER	Germany monthly Industrial Production growth.

Author(s)

Andrea Bucci

See Also

rcov to build realized covariances from stock prices or returns.