Daily Stock Returns

Daily returns for GM, IBM, and S&P 500.

Usage

manganelli

Format

Matrix 2392x3: GM, IBM, SP500

Source

Engle & Manganelli (2004) JBES

Examples

data(manganelli)
head(manganelli)
#>           GM        IBM       SP500
#> 1  3.2185493  1.6584128  2.11627502
#> 2 -0.1533743 -1.8190769  0.09844416
#> 3  2.9740095  0.6677375  1.14423078
#> 4 -0.7227446 -0.3333114 -0.19474203
#> 5 -0.3006014  1.7343388  0.76408756
#> 6 -0.7554808  0.1573771 -0.02523553