The data frame contains the following sector indices of the EURO STOXX 600 index: Automobiles & Parts, Banks, Basic Resources, Chemicals, Construction and Materials, Financial Services, Food & Beverages, Health Care, Industrial Goods & Services, Insurance, Media, Oil & Gas, Technology, Telecommunications and Utilities. The data range is from 31th December 1986 until 21st November 2008.
data(BVDWSTOXX)A data frame with 5652 observations on the following 16 variables.
DatePOSIXt: The dates of observations.
AutoPartsSector index Automobiles & Parts
BanksSector index Banks
BasicResSector index Basic Resources
ChemicalsSector index Chemicals
ConstrMatSector index Construction and Materials
FoodBeverageSector index Food & Beverages
FinServiceSector index Financial Services
HealthCareSector index Health Care
IndustrialGoodsSector index Industrial Goods & Services
InsuranceSector index Insurance
MediaSector index Media
OilGasSector index Oil & Gas
TechnologySector index Technology
TelecomSector index Telecommunications
UtilitiesSector index Utilities
Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.
data(BVDWSTOXX)
str(BVDWSTOXX)
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