exch {mdhglm}

Pound-dollar Exchange-rate Data

Description

Harvey et al. (1994) presented daily observations for the weekday closing exchange rates for the U.K. Sterling/U.S. Dollar from 1/10/81 to 28/6/85.

Usage

data("exch")

Format

A data frame with 944 observations on the following 4 variables.

rt

exchange rate at time t

yt

mean-correted returns

yt1

one lag of yt

yt12

yt1*yt1

References

Harvey, A.C., Ruiz, E. and Shephard, N. (1994). Multivariate stochastic variance models. Review of Economic Studies, 61, 247–264.