| dmbp {tsgarch} | R Documentation |
Deutschemark/British pound Exchange Rate
Description
The Bollerslev-Ghysel benchmark dataset. The variables in the data set are the daily percentage nominal returns computed as 100
ln(Pt) - ln(Pt-1)
, where Pt is the bilateral Deutschemark/British pound rate constructed from the corresponding U.S. dollar rates, and a dummy variable that takes the value of 1 on Mondays and other days following no trading in the Deutschemark or British pound/ U.S. dollar market during regular European trading hours, and 0 otherwise. The data spans the period from 1984-01-03 through 1991-12-31, but exact dates are not known as this dataset did not provide an index. This dataset is included as it is used for the GARCH benchmark.
Usage
dmbp
Format
dmbp
A data.frame containing 2x1974 observations
- rate
The exchange rate
- monday
Dummy indicator (see descriptiom)
Source
Journal of Business & Economic Statistics Data Archive