Data on realized volatility of US and Australian equity markets
收藏Research Data Australia2024-12-14 收录
下载链接：
https://researchdata.edu.au/realized-volatility-australian-equity-markets/927320
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资源简介：
Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertaken and the data are used to create a dataset of daily realized volatility estimates for each stock
本数据集涵盖500只美国个股（标普500（S&P500）指数成分股）与168只澳大利亚个股的5分钟级交易价格数据，所有数据均从SIRCA数据库下载获取。经严格的数据清洗预处理后，基于该原始数据集构建得到针对每只个股的日度已实现波动率（realized volatility）估计值数据集。
提供机构：
University of Tasmania, Australia
