Stock market Realised Volatility
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Daily realised volatilities for the Dow Jones Index and 26 individual stocks.
The Realised Volatility data was used to evaluate different volatility forecasting methods. The Realised Volatility data was calculated using underlying high frequency prices obtained from Thomson Reuters Datascope.
Geographical area of data collection
kmlPolyCoords
153.317870,-26.996845 152.668523,-26.996845 152.668523,-27.767441 153.317870,-27.767441 153.317870,-26.996845
Research areas
Financial
econometrics
Cite this collection
Clements, Adam; (2023): Stock market Realised Volatility. Queensland University of Technology. (Dataset) https://doi.org/10.25912/RDF_1679982957841
Data file types
Matlab data files (.mat) in a zipped folder (.zip)
Licence
Creative Commons Attribution-NonCommercial 4.0 (CC-BY-NC)
http://creativecommons.org/licenses/by-nc/4.0/
Copyright
© Queensland University of Technology, 2023
Dates of data collection
From 2020-06 to 2020-08
Contacts
Name: Professor Adam Clements
Email: a.clements@qut.edu.au
Other
Date record created:
2023-03-27T10:58:06
Date record modified:
2023-03-28T16:11:53
Record status:
Published - Open Access