betategarch (version 3.4)

nasdaq: Daily Apple stock returns

Description

The dataset contains two variables, day and nasdaqret. Day is the date of the return and nasdaqret 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(nasdaq)

Format

A data frame with 3215 observations:

day

a factor

nasdaqret

a numeric vector

Details

The data is studied in more detail in Harvey and Sucarrat (2014), and in Sucarrat (2013).

References

A. Harvey and G. Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338, tools:::Rd_expr_doi("https://doi.org/10.1016/j.csda.2013.09.022")

G. Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147, ,tools:::Rd_expr_doi("https://doi.org/10.32614/RJ-2013-034")

Examples

data(nasdaq) #load data into workspace
mymod <- tegarch(nasdaq[,"nasdaqret"]) #estimate volatility model of Apple returns
print(mymod)