MarkPound: DEM/GBP Exchange Rate Returns

In AER: Applied Econometrics with R

DEM/GBP Exchange Rate Returns

Description

A daily time series of percentage returns of Deutsche mark/British pound (DEM/GBP) exchange rates from 1984-01-03 through 1991-12-31.

Usage

data("MarkPound")

Format

A univariate time series of 1974 returns (exact dates unknown) for the DEM/GBP exchange rate.

Details

Greene (2003, Table F11.1) rounded the series to six digits while eight digits are given in Bollerslev and Ghysels (1996). Here, we provide the original data. Using round a series can be produced that is virtually identical to that of Greene (2003) (except for eight observations where a slightly different rounding arithmetic was used).

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.

Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.

See Also

Greene2003, MarkDollar

Examples

## data as given by Greene (2003)
data("MarkPound")
mp <- round(MarkPound, digits = 6)

## Figure 11.3 in Greene (2003)
plot(mp)

## Example 11.8 in Greene (2003), Table 11.5
library("tseries")
mp_garch <- garch(mp, grad = "numerical")
summary(mp_garch)
logLik(mp_garch)  
## Greene (2003) also includes a constant and uses different
## standard errors (presumably computed from Hessian), here
## OPG standard errors are used. garchFit() in "fGarch"
## implements the approach used by Greene (2003).

## compare Errata to Greene (2003)
library("dynlm")
res <- residuals(dynlm(mp ~ 1))^2
mp_ols <- dynlm(res ~ L(res, 1:10))
summary(mp_ols)
logLik(mp_ols)
summary(mp_ols)$r.squared * length(residuals(mp_ols))

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