Additional Markets Available

28/10/2011 19:26:52

The list of markets analyzed daily has been expanded, and currently includes:

  • S&P 500 
  • FTSE 100 
  • Nikkei 225 
  • DAX 
  • Russel 2000 
  • All Ordinaries 
  • DJIA 
  • Nasdaq 100 
  • CAC 40 
  • Hang Seng 
  • KOSPI Composite Index 
  • AEX Index 
  • Swiss Market Index 
  • IBEX 35 
  • S&P CNX Nifty 
  • IPC Mexico 
  • Bovespa Index 
  • S&P/TSX Composite Index 
  • Euro STOXX 50

 We have also expanded the range of estimators from 5-minute Realized Variance (RV), the positive Realized Kernel (RK) and the open-to-close return (R) to include:

  • Realized Variance (5-minute using 1-minute subsamples) (RV5SS)
  • Realized Variance (10-minute) (RV10)
  • Realized Variance (10-minute using 1-minute subsamples) (RV10SS)
  • Bipower Variation (5-minute) (BV5)
  • Bipower Variation (5-minute using 1-minute subsamples) (BV5SS)
  • Median Truncated Realized Variance (MEDRV)
  • Realized Semivariance (5-minute) (RS)
  • Realized Semivariance (5-minute using 1-minute subsamples) (RS5SS)
  • Number of Transactions (NOBS)
  • Time span betwen first and last observation (seconds) (TIMESPAN)
  • Close-to-Open Return (RCTO)*
  • Opening Time (Local, Seconds) (OPEN)

 

* Close to open return is not available at the time this article was posted, but should be soon.