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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 |
|---|---|---|---|
| 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
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