MarkDollar: DEM/USD Exchange Rate Returns
In AER: Applied Econometrics with R
MarkDollar R Documentation
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)
AER documentation built on Sept. 28, 2024, 9:07 a.m.
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| MarkDollar | R Documentation |
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)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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