ExtremeRisks (version 0.0.4-1)

sp500: Negative log-returns of S&P 500.

Description

Series of negative log-returns of the U.S. stock market index Standard and Poor 500.

Format

A $8784\ast 2$ data frame.

Details

From the series of n = 8785 closing prices $S_t$, $t=1,2,...$, for the Standard and Poor 500 stock market index, recorded from January 29, 1985 to December 12, 2019, the series of negative log-returns.

$X_{t+1}=-\log (S_{t+1}/S_t),1\le t\le n-1$

is available. Hence the dataset (negative log-returns) contains $8784$ observations.