AkShare 波动率数据

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2023-12-01

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
symbol	str	Y	symbol="FTSE", 具体指数请查看如下已实现波动率指数一览表
index	str	Y	index="rk_th2", 具体指标请查看如下已实现波动率指标一览表
plot	Bool	Y	plot=True, 是否画图

已实现波动率指数一览表

Symbol	Name	Earliest Available	Latest Available
.AEX	AEX index	January 03, 2000	November 28, 2019
.AORD	All Ordinaries	January 04, 2000	November 28, 2019
.BFX	Bell 20 Index	January 03, 2000	November 28, 2019
.BSESN	S&P BSE Sensex	January 03, 2000	November 28, 2019
.BVLG	PSI All-Share Index	October 15, 2012	November 28, 2019
.BVSP	BVSP BOVESPA Index	January 03, 2000	November 28, 2019
.DJI	Dow Jones Industrial Average	January 03, 2000	November 27, 2019
.FCHI	CAC 40	January 03, 2000	November 28, 2019
.FTMIB	FTSE MIB	June 01, 2009	November 28, 2019
.FTSE	FTSE 100	January 04, 2000	November 28, 2019
.GDAXI	DAX	January 03, 2000	November 28, 2019
.GSPTSE	S&P/TSX Composite index	May 02, 2002	November 28, 2019
.HSI	HANG SENG Index	January 03, 2000	November 28, 2019
.IBEX	IBEX 35 Index	January 03, 2000	November 28, 2019
.IXIC	Nasdaq 100	January 03, 2000	November 27, 2019
.KS11	Korea Composite Stock Price Index (KOSPI)	January 04, 2000	November 28, 2019
.KSE	Karachi SE 100 Index	January 03, 2000	November 28, 2019
.MXX	IPC Mexico	January 03, 2000	November 28, 2019
.N225	Nikkei 225	February 02, 2000	November 28, 2019
.NSEI	NIFTY 50	January 03, 2000	November 28, 2019
.OMXC20	OMX Copenhagen 20 Index	October 03, 2005	November 28, 2019
.OMXHPI	OMX Helsinki All Share Index	October 03, 2005	November 28, 2019
.OMXSPI	OMX Stockholm All Share Index	October 03, 2005	November 28, 2019
.OSEAX	Oslo Exchange All-share Index	September 03, 2001	November 28, 2019
.RUT	Russel 2000	January 03, 2000	November 27, 2019
.SMSI	Madrid General Index	July 04, 2005	November 28, 2019
.SPX	S&P 500 Index	January 03, 2000	November 27, 2019
.SSEC	Shanghai Composite Index	January 04, 2000	November 28, 2019
.SSMI	Swiss Stock Market Index	January 04, 2000	November 28, 2019
.STI	Straits Times Index	January 03, 2000	November 28, 2019
.STOXX50E	EURO STOXX 50	January 03, 2000	November 28, 2019

已实现波动率指标一览表

Code	Description
bv	Bipower Variation (5-min)
bv_ss	Bipower Variation (5-min Sub-sampled)
close_price	Closing (Last) Price
close_time	Closing Time
medrv	Median Realized Variance (5-min)
nobs	Number of Observations
open_price	Opening (First) Price
open_time	Opening Time
open_to_close	Open to Close Return
rk_parzen	Realized Kernel Variance (Non-Flat Parzen)
rk_th2	Realized Kernel Variance (Tukey-Hanning(2))
rk_twoscale	Realized Kernel Variance (Two-Scale/Bartlett)
rsv	Realized Semi-variance (5-min)
rsv_ss	Realized Semi-variance (5-min Sub-sampled)
rv10	Realized Variance (10-min)
rv10_ss	Realized Variance (10-min Sub-sampled)
rv5	Realized Variance (5-min)
rv5_ss	Realized 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
index	datetime.datetime	Y	日期
data	float	Y	数据

接口示例

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

数据示例

2000-01-04    22.95
2000-01-05    19.37
2000-01-06    18.22
2000-01-07    19.34
2000-01-10    15.67
              ...  
2019-11-04     6.71
2019-11-05     5.90
2019-11-06     6.43
2019-11-07     5.81
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
symbol	str	Y	symbol="39693", 某个具体指数 help(article_rlab_rv)
plot	Bool	Y	plot=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
index	datetime.datetime	Y	日期
data	float	Y	数据

接口示例

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

数据示例

1996-01-02    0.000000
1996-01-04    0.000000
1996-01-05    0.000000
1996-01-09    0.000000
1996-01-10    0.000000
                ...   
2019-11-04    0.175107
2019-11-05    0.185112
2019-11-06    0.210373
2019-11-07    0.240808
2019-11-08    0.199549

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 2019	float	Y	-
Last 3 Months	float	Y	-
Last 12 Months	float	Y	-

接口示例

import akshare as ak
df = ak.article_ff_crr()
print(df)

数据示例

                                            September  2019 Last 3  Months  \
Fama/French 3 Research Factors                            -              -   
Rm-Rf                                                  1.44           0.00   
SMB                                                   -0.89          -5.36   
HML                                                    6.73           1.39   
Fama/French 5 Research Factors (2x3)                      -              -   
Rm-Rf                                                  1.44           0.00   
SMB                                                    0.33          -4.94   
HML                                                    6.73           1.39   
RMW                                                    1.98           2.16   
CMA                                                    3.58           2.82   
Fama/French Research Portfolios                           -              -   
Size and Book-to-Market Portfolios                        -              -   
Small Value                                            5.77          -4.01   
Small Neutral                                          3.84          -1.84   
Big Neutral                                           -2.46          -7.08   
Small Growth                                           5.54           0.74   
Big Value                                              3.97           1.38   
Big Growth                                             0.30           1.04   
Size and Operating Profitability Portfolios               -              -   
Small Robust                                           3.73          -6.10   
Small Neutral                                          4.50          -1.20   
Small Weak                                            -0.22          -6.10   
Big Robust                                             1.12           2.24   
Big Neutral                                            2.60           0.67   
Big Weak                                               1.11          -2.08   
Size and Investment Portfolios                            -              -   
Small Conservative                                     3.57          -3.90   
Small Neutral                                          3.57          -1.41   
Small Aggressive                                       0.15          -6.10   
Big Conservative                                       3.08           2.35   
Big Neutral                                            2.42           1.45   
Big Aggressive                                        -0.66          -1.09   
                                            Last 12  Months  
Fama/French 3 Research Factors                            -  
Rm-Rf                                                 -0.45  
SMB                                                  -14.60  
HML                                                   -4.92  
Fama/French 5 Research Factors (2x3)                      -  
Rm-Rf                                                 -0.45  
SMB                                                  -14.74  
HML                                                   -4.92  
RMW                                                    4.97  
CMA                                                    2.98  
Fama/French Research Portfolios                           -  
Size and Book-to-Market Portfolios                        -  
Small Value                                          -16.59  
Small Neutral                                         -9.19  
Big Neutral                                          -12.36  
Small Growth                                          -1.87  
Big Value                                              3.79  
Big Growth                                             3.73  
Size and Operating Profitability Portfolios               -  
Small Robust                                         -15.42  
Small Neutral                                         -7.23  
Small Weak                                           -15.73  
Big Robust                                             4.76  
Big Neutral                                            3.40  
Big Weak                                              -4.88  
Size and Investment Portfolios                            -  
Small Conservative                                   -14.66  
Small Neutral                                         -8.16  
Small Aggressive                                     -15.00  
Big Conservative                                       5.23  
Big Neutral                                            4.49  
Big Aggressive                                        -0.38

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
index	str	Y	index="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

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

数据示例

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

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
indicator	str	Y	indicator="monthly"; 可以选择 {"Monthly", "Quarterly", "Annual"} 之一

输出参数

名称	类型	默认显示	描述
yyyymm	str	Y	-
Index	str	Y	-
D12	str	Y	-
E12	str	Y	-
b/m	str	Y	-
tbl	str	Y	-
AAA	str	Y	-
BAA	str	Y	-
lty	str	Y	-
ntis	str	Y	-
Rfree	str	Y	-
infl	str	Y	-
ltr	str	Y	-
corpr	str	Y	-
svar	str	Y	-
csp	str	Y	-
CRSP_SPvw	str	Y	-
CRSP_SPvwx	str	Y	-

接口示例

import akshare as ak
agoyal_stock_return_df = ak.agoyal_stock_return(indicator="monthly")
print(agoyal_stock_return_df.columns)

数据示例

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