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

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 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

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
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

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
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