AkShare 波动率数据

已实现波动率数据

Oxford-Man

接口: article_oman_rv

目标地址: https://realized.oxford-man.ox.ac.uk/data/visualization

描述: 获取 Oxford-Man 已实现波动率数据

限量: 单次返回某个指数具体指标的所有历史数据

输入参数

名称类型必选描述
symbolstrYsymbol=”FTSE”, 具体指数请查看如下 已实现波动率指数一览表
indexstrYindex=”rk_th2”, 具体指标请查看如下 已实现波动率指标一览表
plotBoolYplot=True, 是否画图

已实现波动率指数一览表

SymbolNameEarliest AvailableLatest Available
.AEXAEX indexJanuary 03, 2000November 28, 2019
.AORDAll OrdinariesJanuary 04, 2000November 28, 2019
.BFXBell 20 IndexJanuary 03, 2000November 28, 2019
.BSESNS&P BSE SensexJanuary 03, 2000November 28, 2019
.BVLGPSI All-Share IndexOctober 15, 2012November 28, 2019
.BVSPBVSP BOVESPA IndexJanuary 03, 2000November 28, 2019
.DJIDow Jones Industrial AverageJanuary 03, 2000November 27, 2019
.FCHICAC 40January 03, 2000November 28, 2019
.FTMIBFTSE MIBJune 01, 2009November 28, 2019
.FTSEFTSE 100January 04, 2000November 28, 2019
.GDAXIDAXJanuary 03, 2000November 28, 2019
.GSPTSES&P/TSX Composite indexMay 02, 2002November 28, 2019
.HSIHANG SENG IndexJanuary 03, 2000November 28, 2019
.IBEXIBEX 35 IndexJanuary 03, 2000November 28, 2019
.IXICNasdaq 100January 03, 2000November 27, 2019
.KS11Korea Composite Stock Price Index (KOSPI)January 04, 2000November 28, 2019
.KSEKarachi SE 100 IndexJanuary 03, 2000November 28, 2019
.MXXIPC MexicoJanuary 03, 2000November 28, 2019
.N225Nikkei 225February 02, 2000November 28, 2019
.NSEINIFTY 50January 03, 2000November 28, 2019
.OMXC20OMX Copenhagen 20 IndexOctober 03, 2005November 28, 2019
.OMXHPIOMX Helsinki All Share IndexOctober 03, 2005November 28, 2019
.OMXSPIOMX Stockholm All Share IndexOctober 03, 2005November 28, 2019
.OSEAXOslo Exchange All-share IndexSeptember 03, 2001November 28, 2019
.RUTRussel 2000January 03, 2000November 27, 2019
.SMSIMadrid General IndexJuly 04, 2005November 28, 2019
.SPXS&P 500 IndexJanuary 03, 2000November 27, 2019
.SSECShanghai Composite IndexJanuary 04, 2000November 28, 2019
.SSMISwiss Stock Market IndexJanuary 04, 2000November 28, 2019
.STIStraits Times IndexJanuary 03, 2000November 28, 2019
.STOXX50EEURO STOXX 50January 03, 2000November 28, 2019

已实现波动率指标一览表

CodeDescription
bvBipower Variation (5-min)
bv_ssBipower Variation (5-min Sub-sampled)
close_priceClosing (Last) Price
close_timeClosing Time
medrvMedian Realized Variance (5-min)
nobsNumber of Observations
open_priceOpening (First) Price
open_timeOpening Time
open_to_closeOpen to Close Return
rk_parzenRealized Kernel Variance (Non-Flat Parzen)
rk_th2Realized Kernel Variance (Tukey-Hanning(2))
rk_twoscaleRealized Kernel Variance (Two-Scale/Bartlett)
rsvRealized Semi-variance (5-min)
rsv_ssRealized Semi-variance (5-min Sub-sampled)
rv10Realized Variance (10-min)
rv10_ssRealized Variance (10-min Sub-sampled)
rv5Realized Variance (5-min)
rv5_ssRealized Variance (5-min Sub-sampled)

输出参数

Oxford-Man-已实现波动率数据

名称类型默认显示描述
indexdatetime.datetimeY日期
datafloatY数据

接口示例

  1. import akshare as ak
  2. df = ak.article_oman_rv(symbol="FTSE", index="rk_th2", plot=True)
  3. print(df)

数据示例

  1. 2000-01-04    22.95
  2. 2000-01-05    19.37
  3. 2000-01-06    18.22
  4. 2000-01-07    19.34
  5. 2000-01-10    15.67
  6.               ...  
  7. 2019-11-04     6.71
  8. 2019-11-05     5.90
  9. 2019-11-06     6.43
  10. 2019-11-07     5.81
  11. 2019-11-08     6.75

Risk-Lab

接口: article_rlab_rv

目标地址: https://dachxiu.chicagobooth.edu/

描述: 获取 Risk-Lab 已实现波动率数据

限量: 单次返回某个指数所有历史数据

输入参数

名称类型必选描述
symbolstrYsymbol=”39693”, 某个具体指数 help(article_rlab_rv)
plotBoolYplot=True, 是否画图

输出参数

Risk-Lab-已实现波动率数据

名称类型默认显示描述
indexdatetime.datetimeY日期
datafloatY数据

接口示例

  1. import akshare as ak
  2. df = ak.article_rlab_rv(symbol="39693")
  3. print(df)

数据示例

  1. 1996-01-02    0.000000
  2. 1996-01-04    0.000000
  3. 1996-01-05    0.000000
  4. 1996-01-09    0.000000
  5. 1996-01-10    0.000000
  6.                 ...   
  7. 2019-11-04    0.175107
  8. 2019-11-05    0.185112
  9. 2019-11-06    0.210373
  10. 2019-11-07    0.240808
  11. 2019-11-08    0.199549

AkShare 多因子数据

Current Research Returns

接口: article_ff_crr

目标地址: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data\_library.html

描述: 获取 Current Research Returns 多因子数据

限量: 单次返回所有历史数据

输入参数

名称类型必选描述
----

输出参数

FF-Current Research Returns

名称类型默认显示描述
September 2019floatY-
Last 3 MonthsfloatY-
Last 12 MonthsfloatY-

接口示例

  1. import akshare as ak
  2. df = ak.article_ff_crr()
  3. print(df)

数据示例

  1.                                             September  2019 Last 3  Months  \
  2. Fama/French 3 Research Factors                            -              -   
  3. Rm-Rf                                                  1.44           0.00   
  4. SMB                                                   -0.89          -5.36   
  5. HML                                                    6.73           1.39   
  6. Fama/French 5 Research Factors (2x3)                      -              -   
  7. Rm-Rf                                                  1.44           0.00   
  8. SMB                                                    0.33          -4.94   
  9. HML                                                    6.73           1.39   
  10. RMW                                                    1.98           2.16   
  11. CMA                                                    3.58           2.82   
  12. Fama/French Research Portfolios                           -              -   
  13. Size and Book-to-Market Portfolios                        -              -   
  14. Small Value                                            5.77          -4.01   
  15. Small Neutral                                          3.84          -1.84   
  16. Big Neutral                                           -2.46          -7.08   
  17. Small Growth                                           5.54           0.74   
  18. Big Value                                              3.97           1.38   
  19. Big Growth                                             0.30           1.04   
  20. Size and Operating Profitability Portfolios               -              -   
  21. Small Robust                                           3.73          -6.10   
  22. Small Neutral                                          4.50          -1.20   
  23. Small Weak                                            -0.22          -6.10   
  24. Big Robust                                             1.12           2.24   
  25. Big Neutral                                            2.60           0.67   
  26. Big Weak                                               1.11          -2.08   
  27. Size and Investment Portfolios                            -              -   
  28. Small Conservative                                     3.57          -3.90   
  29. Small Neutral                                          3.57          -1.41   
  30. Small Aggressive                                       0.15          -6.10   
  31. Big Conservative                                       3.08           2.35   
  32. Big Neutral                                            2.42           1.45   
  33. Big Aggressive                                        -0.66          -1.09   
  34.                                             Last 12  Months  
  35. Fama/French 3 Research Factors                            -  
  36. Rm-Rf                                                 -0.45  
  37. SMB                                                  -14.60  
  38. HML                                                   -4.92  
  39. Fama/French 5 Research Factors (2x3)                      -  
  40. Rm-Rf                                                 -0.45  
  41. SMB                                                  -14.74  
  42. HML                                                   -4.92  
  43. RMW                                                    4.97  
  44. CMA                                                    2.98  
  45. Fama/French Research Portfolios                           -  
  46. Size and Book-to-Market Portfolios                        -  
  47. Small Value                                          -16.59  
  48. Small Neutral                                         -9.19  
  49. Big Neutral                                          -12.36  
  50. Small Growth                                          -1.87  
  51. Big Value                                              3.79  
  52. Big Growth                                             3.73  
  53. Size and Operating Profitability Portfolios               -  
  54. Small Robust                                         -15.42  
  55. Small Neutral                                         -7.23  
  56. Small Weak                                           -15.73  
  57. Big Robust                                             4.76  
  58. Big Neutral                                            3.40  
  59. Big Weak                                              -4.88  
  60. Size and Investment Portfolios                            -  
  61. Small Conservative                                   -14.66  
  62. Small Neutral                                         -8.16  
  63. Small Aggressive                                     -15.00  
  64. Big Conservative                                       5.23  
  65. Big Neutral                                            4.49  
  66. Big Aggressive                                        -0.38

AkShare 政策不确定性数据

国家和地区指数

接口: article_epu_index

目标地址: http://www.policyuncertainty.com/index.html

描述: 获取国家或地区的经济政策不确定性(EPU)数据

限量: 单次返回某个具体国家或地区的所有月度经济政策不确定性数据

输入参数

名称类型必选描述
indexstrYindex=”China”; 按 国家和地区一览表 输入相应参数

国家和地区一览表

英文名词说明
Global
Australia
Canada
China
Europe欧洲
Germany欧洲
Hong Kong
Ireland
Japan
Mexico
Russia
Spain
UK
USA
Brazil
Chile
Colombia有两种, 默认第一种(FKT)
France欧洲
Greece
India
Italy欧洲
South Korea
Netherlands
Singapore
Sweden

输出参数

名称类型默认显示描述
---每个国家或地区不同

接口示例

  1. import akshare as ak
  2. epu_index_df = ak.article_epu_index(index="China")  # 注意单词第一个字母大写
  3. print(epu_index_df)

数据示例

  1.      year  month  China_Policy_Index
  2. 0    1995      1           192.91190
  3. 1    1995      2           193.98790
  4. 2    1995      3            88.22704
  5. 3    1995      4           131.03470
  6. 4    1995      5           177.09690
  7. ..    ...    ...                 ...
  8. 287  2018     12           935.31030
  9. 288  2019      1           654.96260
  10. 289  2019      2           720.15790
  11. 290  2019      3           753.10770
  12. 291  2019      4           502.55000

AkShare 学术专栏

Amit Goyal

标普500和常用经济指标

接口: agoyal_stock_return

目标地址: http://www.hec.unil.ch/agoyal/

描述: 获取 Amit Goyal 在其论文: A comprehensive look at the empirical performance of equity premium prediction 中的标普 500 和常用经济指标

限量: 单次返回指定 indicator 的数据，本数据大约每年中旬更新(现在更新到 2018 年)

输入参数

名称类型必选描述
indicatorstrYindicator=”monthly”; 可以选择 {“Monthly”, “Quarterly”, “Annual”} 之一

输出参数

名称类型默认显示描述
yyyymmstrY-
IndexstrY-
D12strY-
E12strY-
b/mstrY-
tblstrY-
AAAstrY-
BAAstrY-
ltystrY-
ntisstrY-
RfreestrY-
inflstrY-
ltrstrY-
corprstrY-
svarstrY-
cspstrY-
CRSP_SPvwstrY-
CRSP_SPvwxstrY-

接口示例

  1. import akshare as ak
  2. agoyal_stock_return_df = ak.agoyal_stock_return(indicator="monthly")
  3. print(agoyal_stock_return_df)

数据示例

  1.       yyyymm    Index        D12     E12  ...      svar  csp  CRSP_SPvw  CRSP_SPvwx
  2. 0     187101     4.44   0.260000    0.40  ...       NaN  NaN        NaN         NaN
  3. 1     187102     4.50   0.260000    0.40  ...       NaN  NaN        NaN         NaN
  4. 2     187103     4.61   0.260000    0.40  ...       NaN  NaN        NaN         NaN
  5. 3     187104     4.74   0.260000    0.40  ...       NaN  NaN        NaN         NaN
  6. 4     187105     4.86   0.260000    0.40  ...       NaN  NaN        NaN         NaN
  7.       ...      ...        ...     ...  ...       ...  ...        ...         ...
  8. 1771  201808  2901.52  52.338996  130.39  ...  0.000471  NaN   0.032938    0.030647
  9. 1772  201809  2913.98  52.338996  130.39  ...  0.000230  NaN   0.005138    0.003758
  10. 1773  201810  2711.74  53.748178  132.39  ...  0.004578  NaN  -0.068409   -0.069492
  11. 1774  201811  2760.17  53.748178  132.39  ...  0.002838  NaN   0.019980    0.017477
  12. 1775  201812  2506.85  53.748178  132.39  ...  0.006793  NaN  -0.090928   -0.092457