DataRepUkraine

Title: DataRepUkraine

Author: Piotr Fiszeder, Marta Małecka

Contact person: Piotr Fiszeder, email: piotr.fiszeder@umk.pl

The file contains data used and analysed in the paper:

Fiszeder, P., & Małecka, M. (2022). Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies. Equilibrium. Quarterly Journal of Economics and Economic Policy, 17(4), 939–967.

https://doi.org/10.24136/eq.2022.032

The data start from January 2, 2019 and end on March 25, 2022.

The file contains commodities: crude oil WTI (New York Mercantile Exchange, NYMEX), wheat (Chicago Board of Trade, CBOT), gold (New York Mercantile Exchange, NYMEX, COMEX Division), stock indices: S&P 500, DAX, FTSE 100, currencies pairs: EUR/USD, EUR/JPY, USD/PLN (forex market) and cryptocurrencies pairs: BTC/USD (Bitcoin), ETH/USD (Ethereum), XRP/USD (Ripple). Return, low, high prices and realized variance (RV from January 25, 2022) are given for all assets. All data come from Refinitiv Eikon.

Keywords: volatility models, invasion of Ukraine.

Language: English.

License: CC BY - Creative Commons Uznanie Autorstwa 4.0