R workspace file with GARCH-filtered log returns for Dow Jones stocks 2014-2016
Three objects:
1. dj1416gf is a list with $filter, $uscore $zscore $uscmodel $zscmodel $sigmat $coefficient; dimensions of matrices $uscore, $zscore are 764 x 30 (n x d).
filter: GARCH filtered data nxd, before transform
uscore: empirical uniform scores (nxd)
zscore: empirical normal scores (nxd)
uscmodel: model-based uniform scores (nxd) from the GARCH fit
zscmodel: model-based normal scores (nxd) from the GARCH fit
sigmat: matrix of estimated volatilities (nxd)
coef: matrix of GARCH parameters (6xd or 5xd depending on where AR(1) was used for GARCH model; the parameters are mu, (ar1), omega, alpha1, beta1, shape.
2. dateindex is an object with the dates for the rows of $uscore, $zscore
3. lab is an object with the ticker names for the 30 stocks in dj1416gf
data(DJ20142016gf)