AER (version 1.2-14)

MarkDollar: DEM/USD Exchange Rate Returns

Description

A time series of intra-day percentage returns of Deutsche mark/US dollar (DEM/USD) exchange rates, consisting of two observations per day from 1992-10-01 through 1993-09-29.

Usage

data("MarkDollar")

Format

A univariate time series of 518 returns (exact dates unknown) for the DEM/USD exchange rate.

References

Bollerslev, T., and Ghysels, E. (1996). Periodic Autoregressive Conditional Heteroskedasticity. Journal of Business & Economic Statistics, 14, 139--151.

See Also

MarkPound

Examples

 if(!requireNamespace("tseries")) {
  if(interactive() || is.na(Sys.getenv("_R_CHECK_PACKAGE_NAME_", NA))) {
    stop("not all packages required for the example are installed")
  } else q() }
library("tseries")
data("MarkDollar")

## GARCH(1,1)
fm <- garch(MarkDollar, grad = "numerical")
summary(fm)
logLik(fm)