dem2gbp {MSGARCH}

DEM/GBP exchange rate log-returns

Description

The vector dem2gbp contains daily observations of the Deutschmark vs British Pound foreign exchange rate log-returns. This dataset has been promoted as an informal benchmark for GARCH time-series software validation. See McCullough and Renfro (1999), and Brooks, Burke, and Persand (2001) for details. The nominal returns are expressed in percent as in Bollerslev and Ghysels (1996). The sample period is from January 3, 1984, to December 31, 1991, for a total of 1974 observations.

Usage

data("dem2gbp")

Format

vector of size 1,974.

References

Bollerslev T., Ghysels, E. (1996) Periodic autoregressive conditional heteroscedasticity. Journal of Business and Economic Statistics, 14, 139-151.

Brooks C., Burke S. P., Persand G. (2001) International Journal of Forecasting, 17, 45-57. doi: 10.1016/S0169-2070(00)00070-4

McCullough B. D., Renfro C. G. (1999) Benchmarks and software standards: A case study of GARCH procedures. Journal of Economic and Social Measurement, 25, 59-71. doi: 10.3233/JEM-1999-0160