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IBM Volatility Forecasts and Realized-Variance Proxies (Hansen & Lunde, 2005)

Source: R/hl2005-data.R
hl2005.Rd

Daily IBM data from the replication archive of Hansen and Lunde (2005, JAE). Contains 254 trading days (1999-06-01 to 2000-05-31), 8 realized-variance proxies of varying quality, and 330 one-step-ahead conditional variance forecasts produced by GARCH-family models. The benchmark GARCH(1,1) with constant mean and Gaussian errors is identified by the index garch11_idx.

Usage

hl2005

Format

A list with the following components:

date

Trading-day Date vector (length 254).

rv

Numeric vector (length 254); the 5-minute linear-interpolation realized-variance proxy. The paper's headline series.

rv_proxies

\(254 \times 8\) matrix of alternative RV proxies: sq_ccr (squared close-to-close returns), spline_50_3min, spline_250_2min, fourier_M85, linear_5min, prevtick_5min, linear_1min, prevtick_1min.

forecasts

\(254 \times 330\) matrix of one-step-ahead conditional variance forecasts. Columns index a base GARCH specification (55 specs: LGARCH, IGARCH, TS-GARCH, A-GARCH, NA-GARCH, V-GARCH, THR-GARCH, GJR-GARCH, LOG-GARCH, EGARCH, NGARCH, A-PARCH, GQ-ARCH, H-GARCH, AUG-GARCH) crossed with mean-equation and error-distribution combinations (zero/const/ GARCH-in-mean \(\times\) Gaussian/t-distributed).

garch11_idx

Integer (= 57); the column of forecasts corresponding to GARCH(1,1) with constant mean and Gaussian errors, used as the benchmark in the paper.

Source

JAE Data Archive, http://qed.econ.queensu.ca/jae/2005-v20.7/hansen-lunde/.

References

Hansen, P. R. and Lunde, A. (2005). A forecast comparison of volatility models: does anything beat a GARCH(1,1)? Journal of Applied Econometrics, 20(7), 873-889.