df_financial {mfGARCH} | R Documentation |
A dataset containing the S&P 500 stock returns and the NFCI
df_financial
A data frame with 11,306 rows and 5 variables:
date
daily S&P 500 log returns times 100
5-minute realized variances
a dummy for each year/week combination
National Financial Conditions Index
https://github.com/onnokleen/mfGARCH/
https://fred.stlouisfed.org/series/NFCI
https://realized.oxford-man.ox.ac.uk