index_return {bayesestdft} | R Documentation |
Stock Market Index Return Data
Description
The stock market returns are recorded for four countries viz., United States (S&P500), Japan (NIKKEI225), Germany (DAX Index), and South Korea (KOSPI). Specifically log return rates (as computed in Section 5 of doi:10.3390/axioms11090462) are recorded for 5 months in the year 2009 for all the four countries, where these rates are considered to be Student's t-distributed and used for the purpose of estimating the corresponding degrees of freedom using a Bayesian model-based framework, developed in doi:10.3390/axioms11090462.
Usage
index_return
Format
A data frame with 4 columns:
- Country
name of the country to which the log return rate corresponds to: 'United States', 'Japan', 'Germany', and 'South Korea'
- log_return_rate
value of the log return rate
- time_index
an index for the log return rate observations
- date
the date on which the log return rate was recorded
Source
(Lee, 2022), doi:10.3390/axioms11090462.