A dataset containing the prices and log-returns of the S&amp;P500 from 2005 to 2018

datasets

Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is
integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model
Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>).

Jens Wahl

stochvolTMB

Likelihood Estimation of Stochastic Volatility Models

spy function

A data frame with 3522 rows and 3 variables:<dl>
 <dt>date</dt>
<dd>date</dd> <dt>price</dt>
<dd>price, in US dollars</dd> <dt>log_return</dt>
<dd>logarithmic return</dd> ...</dl>

Format

Daily closing prices for the S&amp;P500 from 2005 to 2018. — spy

A data frame with 3522 rows and 3 variables:<dl>
 <dt>date</dt>
<dd>date</dd>

 <dt>price</dt>
<dd>price, in US dollars</dd>

 <dt>log_return</dt>
<dd>logarithmic return</dd>

 ...

</dl>

spy: Daily closing prices for the S&P500 from 2005 to 2018.

Description

Usage

Arguments

Format