dem2gbp contains daily observations of the
Deutschmark vs British Pound foreign exchange rate log-returns. This data
set has been promoted as an informal benchmark for GARCH time-series software validation. See
McCullough and Renfro (1999), and Brooks, Burke, and Persand (2001) for details. The nominal returns are
expressed in percent as in Bollerslev and Ghysels (1996). The sample period is from
January 3, 1984, to December 31, 1991, for a total of 1974 observations.
A vector of size 1974.
Journal of Business and Economic Statistics
Bollerslev T., Ghysels, E. (1996) Periodic Autoregressive Conditional Heteroscedasticity. Journal of Business and Economic Statistics 14(2), pp.139–151.
Brooks C., Burke S. P., Persand G. (2001) Benchmarks and the Accuracy of GARCH Model Estimation. International Journal of Forecasting 17(1), pp.45–57.
McCullough B. D., Renfro C. G. (1999) Benchmarks and Software Standards: A Case Study of GARCH Procedures. Journal of Economic and Social Measurement 25(2), pp.59–71.
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