article_oman_rv_short
Retrieve daily realized volatility measures for major indices such as FTSE, DAX, and S&P 500 from the Oxford-Man Institute's Realized Library. Specify a symbol to get historical volatility data for analysis.
Instructions
Oxford-Man Institute of Quantitative Finance Realized Library 的数据 :param symbol: str FTSE: FTSE 100, GDAXI: DAX, RUT: Russel 2000, SPX: S&P 500 Index, STOXX50E: EURO STOXX 50, SSEC: Shanghai Composite Index, N225: Nikkei 225 :return: pandas.DataFrame
The Oxford-Man Institute's "realised library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Thomson Reuters DataScope Tick History database. Realised measures are not volatility forecasts. However, some researchers use these measures as an input into forecasting models. The aim of this line of research is to make financial markets more transparent by exposing how volatility changes through time.
This Library is used as the basis of some of our own research, which effects its scope, and is made available here to encourage the more widespread exploitation of these methods. It is given 'as is' and solely for informational purposes, please read the disclaimer.
The volatility data can be visually explored. We make the complete up-to-date dataset available for download. Lists of assets covered and realized measures available are also available.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| symbol | No | FTSE |