Dataset: GJR-GARCH Volatility Analysis Asset Classes All

About this Dataset

GJR-GARCH Volatility Analysis Asset Classes All

GJR-GARCH Volatility Analysis Across Asset Classes 1/3/1990 - 6/9/2023 Source: NYU V Labs. the GJR-GARCH model, like the GARCH model, captures other stylized facts in financial time series, like volatility clustering. Across 21 Different Asset Classes and or Sectors of US financial markets. Each CSV file represents the daily close volatility of a given asset class over time.

Tables

Iwo Us

@kaggle.darintuttle_ac_vol_all_nyu.iwo_us

106.71 KB
5752 rows
2 columns


CREATE TABLE iwo_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xlu Us

@kaggle.darintuttle_ac_vol_all_nyu.xlu_us

114.04 KB
6155 rows
2 columns


CREATE TABLE xlu_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Iwf Us

@kaggle.darintuttle_ac_vol_all_nyu.iwf_us

107.5 KB
5795 rows
2 columns


CREATE TABLE iwf_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xlk Us

@kaggle.darintuttle_ac_vol_all_nyu.xlk_us

116.66 KB
6304 rows
2 columns


CREATE TABLE xlk_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Ixc Us

@kaggle.darintuttle_ac_vol_all_nyu.ixc_us

103.49 KB
5390 rows
2 columns


CREATE TABLE ixc_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Ief Us

@kaggle.darintuttle_ac_vol_all_nyu.ief_us

97.61 KB
5252 rows
2 columns


CREATE TABLE ief_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Gsgld Com

@kaggle.darintuttle_ac_vol_all_nyu.gsgld_com

160.62 KB
8606 rows
2 columns


CREATE TABLE gsgld_com (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Lqd Us

@kaggle.darintuttle_ac_vol_all_nyu.lqd_us

97.64 KB
5254 rows
2 columns


CREATE TABLE lqd_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xli Us

@kaggle.darintuttle_ac_vol_all_nyu.xli_us

116.63 KB
6304 rows
2 columns


CREATE TABLE xli_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xlp Us

@kaggle.darintuttle_ac_vol_all_nyu.xlp_us

114.03 KB
6155 rows
2 columns


CREATE TABLE xlp_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Crudeoil Com

@kaggle.darintuttle_ac_vol_all_nyu.crudeoil_com

157.45 KB
8429 rows
2 columns


CREATE TABLE crudeoil_com (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Iwn Us

@kaggle.darintuttle_ac_vol_all_nyu.iwn_us

106.64 KB
5749 rows
2 columns


CREATE TABLE iwn_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xlv Us

@kaggle.darintuttle_ac_vol_all_nyu.xlv_us

116.67 KB
6304 rows
2 columns


CREATE TABLE xlv_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xly Us

@kaggle.darintuttle_ac_vol_all_nyu.xly_us

116.6 KB
6303 rows
2 columns


CREATE TABLE xly_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xle Us

@kaggle.darintuttle_ac_vol_all_nyu.xle_us

114.03 KB
6155 rows
2 columns


CREATE TABLE xle_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xlb Us

@kaggle.darintuttle_ac_vol_all_nyu.xlb_us

116.64 KB
6304 rows
2 columns


CREATE TABLE xlb_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Icf Us

@kaggle.darintuttle_ac_vol_all_nyu.icf_us

107.67 KB
5613 rows
2 columns


CREATE TABLE icf_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Eem Us

@kaggle.darintuttle_ac_vol_all_nyu.eem_us

94.39 KB
5074 rows
2 columns


CREATE TABLE eem_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Xlf Us

@kaggle.darintuttle_ac_vol_all_nyu.xlf_us

116.66 KB
6304 rows
2 columns


CREATE TABLE xlf_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Efa Us

@kaggle.darintuttle_ac_vol_all_nyu.efa_us

101.89 KB
5487 rows
2 columns


CREATE TABLE efa_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);

Iwd Us

@kaggle.darintuttle_ac_vol_all_nyu.iwd_us

107.5 KB
5795 rows
2 columns


CREATE TABLE iwd_us (
  "date" TIMESTAMP,
  "vol" DOUBLE
);