On this R-data statistics page, you will find information about the SP500 data set which pertains to Returns on Standard \& Poor's 500 Index . The SP500 data set is found in the Ecdat R package. You can load the SP500 data set in R by issuing the following command at the console data("SP500"). This will load the data into a variable called SP500. If R says the SP500 data set is not found, you can try installing the package by issuing this command install.packages("Ecdat") and then attempt to reload the data. If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the SP500 R data set. The size of this file is about 28,775 bytes.
Returns on Standard \& Poor's 500 Index
daily observations from 1981–01 to 1991–04
number of observations : 2783
A dataframe containing :
daily return S\&P500 (change in log index)
Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons.
Dataset imported from https://www.r-project.org.