gogarch (version 0.7-0)

VDW: Dow Jones Industrial Average and Nasdaq stock indices

Description

The daily (log) returns of the Dow Jones Industrial Average and the NASDAQ composite, respectively. The daily observations start at the first of January, 1990, and end in October 2001.

Usage

data(VDW)

encoding

latin1

source

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 -- 564.

Details

This data set has been utilized in the source below and can be downloaded from the web-site of the Journal of Applied Econometrics (see link below).

References

http://www.nasdaq.com http://www.djindexes.com http://qed.econ.queensu.ca/jae/2002-v17.5/van_der_weide

See Also

BVDW

Examples

data(VDW)
str(VDW)