TSA (version 1.01)

usd.hkd: Daily US Dollar to Hong Kong Dollar Exchange Rates

Description

Daily USD/HKD (US dollar to Hong Kong dollar) exchange rate from January 1, 2005 to March 7, 2006

Usage

data(usd.hkd)

Format

A data frame with 431 observations on the following 6 variables.

r

daily returns of USD/HKD exchange rates

v

estimated conditional variances based on an AR(1)+GARCH(3,1) model

hkrate

daily USD/HKD exchange rates

outlier1

dummy variable of day 203, corresponding to July 22, 2005

outlier2

dummy variable of day 290, another possible outlier

day

calendar day

References

"Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan

Examples

# NOT RUN {
data(usd.hkd)
## maybe str(usd.hkd) ; plot(usd.hkd) ...
# }