volat

Description

Wooldridge Source: J.D. Hamilton and L. Gang (1996), “Stock Market Volatility and the Business Cycle,” Journal of Applied Econometrics 11, 573-593. I obtained these data from the Journal of Applied Econometrics data archive at http://qed.econ.queensu.ca/jae/ Data loads lazily.

Usage

data('volat')

Format

A data.frame with 558 observations on 17 variables:

• date: 1947.01 to 1993.06

• sp500: S&P 500 index

• divyld: div. yield annualized rate

• i3: 3 mo. T-bill annualized rate

• ip: index of industrial production

• pcsp: pct chg, sp500, ann rate

• rsp500: return on sp500: pcsp + divyld

• pcip: pct chg, IP, ann rate

• ci3: i3 - i3[_n-1]

• ci3_1: ci3[_n-1]

• ci3_2: ci3[_n-2]

• pcip_1: pcip[_n-1]

• pcip_2: pcip[_n-2]

• pcip_3: pcip[_n-3]

• pcsp_1: pcip[_n-1]

• pcsp_2: pcip[_n-2]

• pcsp_3: pcip[_n-3]

Used in Text

pages 378, 670, 671, 674

Source

https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041

Examples

 str(volat)