MarkDollar {AER}

DEM/USD Exchange Rate Returns

Description

A time series of intra-day percentage returns of Deutsche mark/US dollar (DEM/USD) exchange rates, consisting of two observations per day from 1992-10-01 through 1993-09-29.

Usage

data("MarkDollar")

Format

A univariate time series of 518 returns (exact dates unknown) for the DEM/USD exchange rate.

Source

Journal of Business & Economic Statistics Data Archive.

⁠http://www.amstat.org/publications/jbes/upload/index.cfm?fuseaction=ViewArticles&pub=JBES&issue=96-2-APR⁠

References

Bollerslev, T., and Ghysels, E. (1996). Periodic Autoregressive Conditional Heteroskedasticity. Journal of Business & Economic Statistics, 14, 139–151.

See Also

MarkPound

Examples

library("tseries")
data("MarkDollar")

## GARCH(1,1)
fm <- garch(MarkDollar, grad = "numerical")
summary(fm)
logLik(fm)