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Stock market Realised Volatility
- researchdata.edu.au
- researchdatafinder.qut.edu.au
Updated 2023
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EmailClick to copy linkLink copiedCiteClements Adam (2023). Stock market Realised Volatility [Dataset]. http://doi.org/10.25912/RDF_1679982957841Unique identifierhttps://doi.org/10.25912/RDF_1679982957841Dataset updated2023Dataset provided byQueensland University of TechnologyAuthorsClements AdamLicenseAttribution-NonCommercial 3.0 (CC BY-NC 3.0)https://creativecommons.org/licenses/by-nc/3.0/
License information was derived automaticallyAttribution-NonCommercial 4.0 (CC BY-NC 4.0)https://creativecommons.org/licenses/by-nc/4.0/
License information was derived automaticallyTime period coveredJan 1, 2020Area coveredDescriptionDaily 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.
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FacebookTwitterEmailStock market Realised Volatility
Attribution-NonCommercial 3.0 (CC BY-NC 3.0)https://creativecommons.org/licenses/by-nc/3.0/
License information was derived automatically
Attribution-NonCommercial 4.0 (CC BY-NC 4.0)https://creativecommons.org/licenses/by-nc/4.0/
License information was derived automatically
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.