dji30ret
(Package: rugarch) :
data: Dow Jones 30 Constituents Closing Value Log Return
Dow Jones 30 Constituents closing value log returns from 1987-03-16 to 2009-02-03 from Yahoo Finance. Note that AIG was replaced by KFT (Kraft Foods) on September 22, 2008. This is not reflected in this data set as that would bring the starting date of the data to 2001.
The Bollerslev-Ghysel benchmark dataset. The variables in the data set are: 1. The daily percentage nominal returns computed as 100 [ln(Pt) - ln(Pt-1)], where Pt is the bilateral Deutschemark/British pound rate constructed from the corresponding U.S. dollar rates. 2. A dummy variable that takes the value of 1 on Mondays and other days following no trading in the Deutschemark or British pound/ U.S. dollar market during regular European trading hours and 0 otherwise.
spyreal
(Package: rugarch) :
data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility
The SPDR S&P500 index open-close return and the realized kernel volatility for the period 2002-01-02 to 2008-08-29 from the paper of Hansen, Huang and Shek (2011). Used for illustrating the implementation of the Realized GARCH model in rugarch.
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