BVDWAIR {gogarch} | R Documentation |
This data frame contains the stock prices from American Airlines, South-West Airlines, Boeing and FedEx. In addition the spot prices for crude oil and kerosene are included. This data set was used in the article by Boswijk and van der Weide (2009). The data range is from July, 19 1993 until August, 12 2008.
data(BVDWAIR)
A data frame with 3791 observations on the following 7 variables.
Date
CrudeOil
Kerosene
AmericanAir
SouthWest
Boeing
FedEx
The stock price data was downloaded from Yahoo Finance and the price series for crude oil and kerosene were obtained from the U.S. Energy Information Administration (EIA).
http://finance.yahoo.com and http://www.econstats.com
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(BVDWAIR) str(BVDWAIR)