I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need a daily/weekly frequency. Does anyone have any ideas?
Is is possible to use the S&P500 price and total return indexes to calculate daily dividend? And if so, how do you do this? I have tried something like this but then I get stuck with a static 252-trading day moving average.
Note; interpolating quarterly data to a daily frequency is sadly not an option.