The S&P 500 Index is a broad value weighted index of large U.S. listed firms.

Available Estimators

Estimator Description
RV Realized Variance (5-minute)
RK Realized Kernel
R Return
RV5SS Realized Variance (5-minute using 1-minute subsamples)
RV10 Realized Variance (10-minute)
RV10SS Realized Variance (10-minute using 1-minute subsamples)
BV5 Bipower Variation (5-minute)
BV5SS Bipower Variation (5-minute using 1-minute subsamples)
MEDRV Median Truncated Realized Variance
RS Realized Semivariance (5-minute)
RS5SS Realized Semivariance (5-minute using 1-minute subsamples)
NOBS Number of Transactions
TIMESPAN Time span betwen first and last observation (seconds)
OPEN Opening Time (Local in Seconds)
HIGHLOW High-Low Range
HIGHOPEN High-Open Range
OPENPRICE Opening Price
CLOSEPRICE Closing Price