VDW {gogarch} | R Documentation |
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.
data(VDW)
A data frame with 3082 observations on the following 2 variables.
DJIA
NASDAQ
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).
Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.
http://www.nasdaq.com
http://www.djindexes.com
http://qed.econ.queensu.ca/jae/2002-v17.5/van_der_weide
data(VDW) str(VDW)