Daily USD/HKD (US dollar to Hong Kong dollar) exchange rate from January 1, 2005 to March 7, 2006
A data frame with 431 observations on the following 6 variables.
daily returns of USD/HKD exchange rates
estimated conditional variances based on an AR(1)+GARCH(3,1) model
daily USD/HKD exchange rates
dummy variable of day 203, corresponding to July 22, 2005
dummy variable of day 290, another possible outlier
"Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan