dji30ret

This dataset is copied from the rugarch package of Ghalanos (2015).
From the rugarch package:Dow Jones 30 Constituents closing value log returns from 1987-03-16 to
2009-02-03 from Yahoo Finance. Note that AIG was replaced by KFT (Kraft Foods)
on September 22, 2008. This is not reflected in this data set as that would
bring the starting date of the data to 2001.

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Simulate, Estimate and Forecast using univariate and multivariate GAS models.

Leopoldo Catania

Generalized Autoregressive Score Models

dji30ret function

A data.frame containing 5521x30 observations.

Format

Source


This dataset is copied from the rugarch package of Ghalanos (2015).


From the rugarch package:

Dow Jones 30 Constituents closing value log returns from 1987-03-16 to
2009-02-03 from Yahoo Finance. Note that AIG was replaced by KFT (Kraft Foods)
on September 22, 2008. This is not reflected in this data set as that would
bring the starting date of the data to 2001.


dji30ret: data: Dow Jones 30 Constituents Closing Value Log Return

Description

Usage

Arguments

Format

Source

References