demgbp: DEM/GBP exchange rate log-returns
In bayesforecast: Bayesian Time Series Modeling with Stan
Description
Usage
Format
Source
References
Description
The vector 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.
Usage
1
Format
the format is: Time-Series (1:350) from 1984 to 1985:
Source
bayesGARCH
References
Engle, R. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of
the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
url: http://www.jstor.org/stable/1912773.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity.
Journal of Econometrics. 31(3), 307-327.
doi: https://doi.org/10.1016/0304-4076(86)90063-1.
Ardia, D. and Hoogerheide, L. (2010). Bayesian Estimation of the GARCH(1,1) Model
with Student-t Innovations. The R Journal. 2(7), 41-47.
doi: 10.32614/RJ-2010-014.
bayesforecast documentation built on June 17, 2021, 5:14 p.m.
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Description Usage Format Source References
Description
The vector 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.
Usage
1 |
Format
the format is: Time-Series (1:350) from 1984 to 1985:
Source
bayesGARCH
References
Engle, R. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of
the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
url: http://www.jstor.org/stable/1912773.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity.
Journal of Econometrics. 31(3), 307-327.
doi: https://doi.org/10.1016/0304-4076(86)90063-1.
Ardia, D. and Hoogerheide, L. (2010). Bayesian Estimation of the GARCH(1,1) Model
with Student-t Innovations. The R Journal. 2(7), 41-47.
doi: 10.32614/RJ-2010-014.
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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