Dataset: S&P500 Volatility Prediction Time Series Data

About this Dataset

S&P500 Volatility Prediction Time Series Data

This dataset was created for a academic paper on multivariate time series prediction of S&P500 30-day volatility.

For this the dataset contains S&P500-related, financial and macroeconomic time series data was compiled from different sources. The individual sources can be viewed in the Methodology section of the following paper.

Tables

Features Target

@kaggle.mathisjander_s_and_p500_volatility_prediction_time_series_data.features_target

467.64 KB
2264 rows
31 columns


CREATE TABLE features_target (
  "unnamed_0" TIMESTAMP,
  "sp500" DOUBLE,
  "sp500_log_returns" DOUBLE,
  "sp500_30_day_volatility" DOUBLE,
  "spx_put_call_ratio" DOUBLE,
  "spx_put_volume" DOUBLE,
  "spx_call_volume" DOUBLE,
  "total_spx_options_volume" DOUBLE,
  "vix" DOUBLE,
  "djia" DOUBLE,
  "nasdaq" DOUBLE,
  "n_10y_treasury" DOUBLE,
  "high_yield_bonds" DOUBLE,
  "russell" DOUBLE,
  "emb_yield" DOUBLE,
  "msci_world" DOUBLE,
  "consumer_sentiment" DOUBLE,
  "usd_index" DOUBLE,
  "gold" DOUBLE,
  "oil" DOUBLE,
  "djia_log_returns" DOUBLE,
  "nasdaq_log_returns" DOUBLE,
  "russell_log_returns" DOUBLE,
  "msci_world_log_returns" DOUBLE,
  "usd_index_log_returns" DOUBLE,
  "gold_log_returns" DOUBLE,
  "oil_log_returns" DOUBLE,
  "sp500_put_log_change" DOUBLE,
  "sp500_call_log_change" DOUBLE,
  "sp500_total_opts_log_change" DOUBLE,
  "consumer_sentiment_log_change" DOUBLE
);