ret_sp500.xls
Creators:
Christian Conrad
;
Robert F Engle
Daily S&P 500 return data from January 1971 to June 2023. For the sub-period 1971-1983, the return data is the same as in Conrad and Loch (2015) and was initially obtained from the Federal Reserve Bank of St. Louis database. Data from 1983 onwards are from TickData (www.tickdata.com).
All other data and code can be found in the file MF2_GARCH_replication.zip
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Metadata
| Field | Value |
|---|---|
| Format | application/vnd.ms-excel |
| License | CC-BY 4.0 |
| Type | data |
| Version | 1 |
| Authors | Conrad, Christian and Engle, Robert F. |
| DOI | |
| Publication Date | 2025 |
| Availability | Download |
| Geographic Area (controlled) | United states |
| Geographic Area (free) | |
| Temporal Coverage (controlled) | 1971-01-04 to 2023-06-30 |
| Temporal Coverage (free) | |
| Unit Type | Other |
| Number of Units | 1 |
| Sampled Universe | |
| Number of Variables | 1 |
| URL | https://journaldata.zbw.eu/dataset/d0cfdb10-1bde-4577-afcd-a030c5575dcc/resource/8a5d16ae-835f-42a6-9ab4-7a697867ab29/download/ret_sp500.xls |
| Last updated | January 13, 2025 |
| Created | January 13, 2025 |
