dmbp: Deutschemark/British pound Exchange Rate
In tsgarch: Univariate GARCH Models
dmbp R Documentation
Deutschemark/British pound Exchange Rate
Description
The Bollerslev-Ghysel benchmark dataset. The variables in the data set are
the daily percentage nominal returns computed as 100
ln(Pt) - ln(Pt-1)
,
where Pt is the bilateral Deutschemark/British pound rate constructed from
the corresponding U.S. dollar rates, and a dummy variable that takes the
value of 1 on Mondays and other days following no trading in the Deutschemark
or British pound/ U.S. dollar market during regular European trading hours,
and 0 otherwise.
The data spans the period from 1984-01-03 through 1991-12-31, but exact dates
are not known as this dataset did not provide an index.
This dataset is included as it is used for the GARCH benchmark.
Usage
dmbp
Format
dmbp
A data.frame containing 2x1974 observations
- rate
The exchange rate
- monday
Dummy indicator (see descriptiom)
Source
Journal of Business & Economic Statistics Data Archive
tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.
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| dmbp | R Documentation |
Deutschemark/British pound Exchange Rate
Description
The Bollerslev-Ghysel benchmark dataset. The variables in the data set are the daily percentage nominal returns computed as 100
ln(Pt) - ln(Pt-1)
, where Pt is the bilateral Deutschemark/British pound rate constructed from the corresponding U.S. dollar rates, and a dummy variable that takes the value of 1 on Mondays and other days following no trading in the Deutschemark or British pound/ U.S. dollar market during regular European trading hours, and 0 otherwise. The data spans the period from 1984-01-03 through 1991-12-31, but exact dates are not known as this dataset did not provide an index. This dataset is included as it is used for the GARCH benchmark.
Usage
dmbp
Format
dmbp
A data.frame containing 2x1974 observations
- rate
The exchange rate
- monday
Dummy indicator (see descriptiom)
Source
Journal of Business & Economic Statistics Data Archive
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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