BVDWSTOXX {gogarch}R Documentation

Sector indices of the EURO STOXX 600

Description

The data frame contains the following sector indices of the EURO STOXX 600 index: Automobiles & Parts, Banks, Basic Resources, Chemicals, Construction and Materials, Financial Services, Food & Beverages, Health Care, Industrial Goods & Services, Insurance, Media, Oil & Gas, Technology, Telecommunications and Utilities. The data range is from 31th December 1986 until 21st November 2008.

Usage

data(BVDWSTOXX)

Format

A data frame with 5652 observations on the following 16 variables.

Date
POSIXt: The dates of observations.
AutoParts
Sector index Automobiles & Parts
Banks
Sector index Banks
BasicRes
Sector index Basic Resources
Chemicals
Sector index Chemicals
ConstrMat
Sector index Construction and Materials
FoodBeverage
Sector index Food & Beverages
FinService
Sector index Financial Services
HealthCare
Sector index Health Care
IndustrialGoods
Sector index Industrial Goods & Services
Insurance
Sector index Insurance
Media
Sector index Media
OilGas
Sector index Oil & Gas
Technology
Sector index Technology
Telecom
Sector index Telecommunications
Utilities
Sector index Utilities

Source

http://www.stoxx.com

References

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.

Examples

data(BVDWSTOXX)
str(BVDWSTOXX)

[Package gogarch version 0.6-8 Index]