| volat | R Documentation |
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.
data('volat')
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]
pages 378, 670, 671, 674
https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041
str(volat)