Dataset on state-dependent Angular correlation GARCH model
Published: 5 August 2022| Version 1 | DOI: 10.17632/yfpb2tpj4r.1
This dataset contains precious metal futures including gold, platinum, and silver and energy futures including crude oil and fuel oil futures, and Shenzhen stock sector indices, including information technology, construction, manufacturing, consumer staples, transportation, wholesale & retail sectors. Data are Wednesday closing prices from 2010/4/21 to 2021/12/29 obtained from Datastream database. Gold and platinum futures are traded on the Chicago Mercantile Exchange, silver and West Texas Intermediate crude oil futures are traded on the New York Mercantile Exchange, and fuel oil futures is traded on the Shanghai International Energy Exchange.