The dataset contains two variables, day and appleret. Day is the date of the return and appleret is the daily (closing value) log-return in percent of the Apple stock over the period 10 September 1985 - 10 May 2011 (a total of 6835 observations).
Usage
data(apple)
Arguments
source
The source of the original raw data is http://yahoo.finance.com/.
Details
The data is studied in more detail in Harvey and Sucarrat (2012).
References
Harvey and Sucarrat (2012), 'EGARCH models with fat tails, skewness and leverage', Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.