Please read this Technical Note for details on the construction of the index.

We estimate an approximate dynamic factor model such that $$y^i_t = f_t + v^i_t$$, where $$y^i_t$$ is a vector with all series of indicators, including GDP, $$f_t$$ a common factor, which is the activity index, and a idiosyncratic error term $$v^i_t$$ unique for each series. The data is available in mixed frequencies, from weekly to quarterly. The first lag of the common factor $$f_{t-1}$$ is therefore its value in the previous week and the value of GDP’s previous quarter is $$y^{GDP}_{t-12}$$.