Low Interval Time Series
In dataSDA: Datasets and Basic Statistics for Symbolic Data Analysis

euro_usd.its

R Documentation

Euro/Dollar Exchange Rate Daily High/Low Interval Time Series

Description

Daily high and low values of the EUR/USD exchange rate from January 1, 2004 to December 30, 2005 (520 trading days). Inspired by the dataset used by Arroyo, Espinola and Mate (2011) for exponential smoothing methods for interval time series.

Usage

data(euro_usd.its)

Format

A data frame with 520 observations and 3 variables:

date: Trading date (Date class).
low: Daily low EUR/USD exchange rate.
high: Daily high EUR/USD exchange rate.

Details

The EUR/USD exchange rate is the most traded currency pair in the world foreign exchange market. Each observation represents a trading day with the daily low and high exchange rates (USD per EUR) forming an interval. Note: the original study by Arroyo et al. (2011) used the period 2002–2003 (519 trading days); this dataset covers 2004–2005 because Yahoo Finance historical data for this ticker is only available from late 2003 onward.

Metadata

Sample size (n)	520
Variables (p)	3 (date, low, high)
Subject area	Finance / Foreign Exchange
Symbolic format	Interval time series
Analytical tasks	Forecasting, Time series analysis

Source

Yahoo Finance, ticker EURUSD=X. Downloaded via the quantmod package.

References

Arroyo, J., Espinola, R. and Mate, C. (2011). Different approaches to forecast interval time series: A comparison in finance. Computational Economics, 37(2), 169–191.

Examples

data(euro_usd.its)
head(euro_usd.its)
plot(euro_usd.its$date, euro_usd.its$high, type = "l", col = "red",
     ylab = "EUR/USD", xlab = "Date",
     main = "EUR/USD Daily High/Low (2004-2005)")
lines(euro_usd.its$date, euro_usd.its$low, col = "blue")
legend("topleft", c("High", "Low"), col = c("red", "blue"), lty = 1)

dataSDA documentation built on June 12, 2026, 9:06 a.m.