| nikkei {tsgarch} | R Documentation |
Japanese NIKKEI Stock Index
Description
The daily log returns in percent of the NIKKEI stock index spanning the period 1984-01-04 to 2000-12-22. In the original dataset there was a duplicate date on 2000-08-31 (but with a different value). Therefore, in order to correct this we have moved up the duplicate 2000-08-31 to become 2000-09-01, and the 2000-09-01 to 2000-09-02. Since the next date after this was 2000-09-04, no further adjustments were made. These changes preserve the original data in the order they appeared, with a minimal adjustment only to the index which has no impact on estimation, but avoiding internal warnings which arise on checks to the index. This dataset is included as it is used for the APARCH benchmark.
Usage
nikkei
Format
nikkei
A data.frame containing 4246 observations in 2 columns:
- index
The string date in YYYY-MM-DD format.
- value
The daily log returns
Source
Journal of Applied Econometrics Data Archive 2003-v18.6/giot-laurent from the paper “Value-at-Risk for Long and Short Trading Positions” by Giot, Pierre and Sebastien Laurent, 2003, Journal of Applied Econometrics, 18(6), pp. 641–664.