dmbp: data: Deutschemark/British pound Exchange Rate
In rgarch: Flexible GARCH modelling in R
Description
Usage
Format
Source
References
Description
The Bollerslev-Ghysel benchmark dataset.
The variables in the data set are:
1. 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.
2. 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.
Usage
1
Format
A data.frame containing 2x1974 observations.
Source
JBES Data Archive ftp://www.amstat.org/jbes/View/
References
Bollerslev, T. & Ghysels, E., “Periodic Autoregressive Conditional
Heteroscedasticity”,1996, Journal of Business and Economic Statistics, Vol 14,
pp. 139-151.
rgarch documentation built on May 2, 2019, 5:22 p.m.
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.
Description Usage Format Source References
Description
The Bollerslev-Ghysel benchmark dataset.
The variables in the data set are:
1. 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.
2. 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.
Usage
1 |
Format
A data.frame containing 2x1974 observations.
Source
JBES Data Archive ftp://www.amstat.org/jbes/View/
References
Bollerslev, T. & Ghysels, E., “Periodic Autoregressive Conditional Heteroscedasticity”,1996, Journal of Business and Economic Statistics, Vol 14, pp. 139-151.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.