VDW {gogarch}R Documentation

Dow Jones Industrial Average and Nasdaq stock indices

Description

The daily (log) returns of the Dow Jones Industrial Average and the NASDAQ composite, respectively. The daily observations start at the first of January, 1990, and end in October 2001.

Usage

data(VDW)

Format

A data frame with 3082 observations on the following 2 variables.

DJIA
Log-return of Dow Jones Industrial Average.
NASDAQ
Log-return of NASDAQ.

Details

This data set has been utilized in the source below and can be downloaded from the web-site of the Journal of Applied Econometrics (see link below).

Source

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.

References

http://www.nasdaq.com
http://www.djindexes.com
http://qed.econ.queensu.ca/jae/2002-v17.5/van_der_weide

See Also

BVDW

Examples

data(VDW)
str(VDW)

[Package gogarch version 0.6-8 Index]