Name: SPY, VIX, S&P500 Historical Volatility 20 Days
Creator: Kaggle
License: https://creativecommons.org/publicdomain/zero/1.0/

About this Dataset

SPY, VIX, S&P500 Historical Volatility 20 Days

The dataset consists in data concerning S&P500 index. There are daily closing prices for SPY and VIX : SPY is the S&P500 ETF and VIX is a measure of the implied volatility of S&P500. The column 'sp20vol' is a measure of the historical volatility of SPY.

The goal of the prediction is to forecast SPY returns over several time horizons.

Tables

Data

@kaggle.angevalli_spy_vix_s_and_p500_historical_volatility_20_days.data

110.65 kB
3,901 rows
4 columns

CREATE TABLE data (
  "date" TIMESTAMP,
  "spy" DOUBLE,
  "vix" DOUBLE,
  "sp20vol" DOUBLE
);