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midasr (version 0.2)

rvsp500: Realized volatility of S&P500 index

Description

Realized volatility of S&P500(Live) index of the period 2000 01 03 - 2012 05 22

Arguments

format

A data.frame object with two columns. First column contains date id, and the second the realized volatility for S&P500 index.

source

http://realized.oxford-man.ox.ac.uk/media/1366/oxfordmanrealizedvolatilityindices.zip{Heber, Gerd, Asger Lunde, Neil Shephard and Kevin Sheppard (2009) "Oxford-Man Institute's realized library", Oxford-Man Institute, University of Oxfors}