Name: GJR-GARCH Volatility Analysis Asset Classes All
Creator: Kaggle
License: http://opendatacommons.org/licenses/dbcl/1.0/

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

Crudeoil Com

@kaggle.darintuttle_ac_vol_all_nyu.crudeoil_com

161.23 kB
8,429 rows
2 columns

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

Eem Us

@kaggle.darintuttle_ac_vol_all_nyu.eem_us

96.66 kB
5,074 rows
2 columns

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

Efa Us

@kaggle.darintuttle_ac_vol_all_nyu.efa_us

104.34 kB
5,487 rows
2 columns

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

Gsgld Com

@kaggle.darintuttle_ac_vol_all_nyu.gsgld_com

164.47 kB
8,606 rows
2 columns

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

Icf Us

@kaggle.darintuttle_ac_vol_all_nyu.icf_us

110.25 kB
5,613 rows
2 columns

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

Ief Us

@kaggle.darintuttle_ac_vol_all_nyu.ief_us

99.95 kB
5,252 rows
2 columns

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

Iwd Us

@kaggle.darintuttle_ac_vol_all_nyu.iwd_us

110.08 kB
5,795 rows
2 columns

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

Iwf Us

@kaggle.darintuttle_ac_vol_all_nyu.iwf_us

110.08 kB
5,795 rows
2 columns

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

Iwn Us

@kaggle.darintuttle_ac_vol_all_nyu.iwn_us

109.2 kB
5,749 rows
2 columns

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

Iwo Us

@kaggle.darintuttle_ac_vol_all_nyu.iwo_us

109.27 kB
5,752 rows
2 columns

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

Ixc Us

@kaggle.darintuttle_ac_vol_all_nyu.ixc_us

105.98 kB
5,390 rows
2 columns

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

Lqd Us

@kaggle.darintuttle_ac_vol_all_nyu.lqd_us

99.99 kB
5,254 rows
2 columns

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

Xlb Us

@kaggle.darintuttle_ac_vol_all_nyu.xlb_us

119.44 kB
6,304 rows
2 columns

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

Xle Us

@kaggle.darintuttle_ac_vol_all_nyu.xle_us

116.77 kB
6,155 rows
2 columns

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

Xlf Us

@kaggle.darintuttle_ac_vol_all_nyu.xlf_us

119.46 kB
6,304 rows
2 columns

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

Xli Us

@kaggle.darintuttle_ac_vol_all_nyu.xli_us

119.43 kB
6,304 rows
2 columns

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

Xlk Us

@kaggle.darintuttle_ac_vol_all_nyu.xlk_us

119.46 kB
6,304 rows
2 columns

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

Xlp Us

@kaggle.darintuttle_ac_vol_all_nyu.xlp_us

116.77 kB
6,155 rows
2 columns

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

Xlu Us

@kaggle.darintuttle_ac_vol_all_nyu.xlu_us

116.78 kB
6,155 rows
2 columns

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

Xlv Us

@kaggle.darintuttle_ac_vol_all_nyu.xlv_us

119.47 kB
6,304 rows
2 columns

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

Xly Us

@kaggle.darintuttle_ac_vol_all_nyu.xly_us

119.4 kB
6,303 rows
2 columns

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