demgbp

<p>The vector dem2gbp contains daily observations of the Deutschmark vs British
Pound foreign exchange rate log-returns. This data set has been promoted as
an informal benchmark for GARCH time-series software validation. See
McCullough and Renfro (1999), and Brooks, Burke, and Persand (2001) for details.
The nominal returns are expressed in percent as in Bollerslev and Ghysels (1996).
The sample period is from January 3, 1984, to December 31, 1991, for a total
of 1974 observations.</p>

datasets

Fit Bayesian time series models using 'Stan' for full Bayesian inference. A wide range
of distributions and models are supported, allowing users to fit Seasonal ARIMA, ARIMAX, Dynamic
Harmonic Regression, GARCH, t-student innovation GARCH models, asymmetric GARCH, Random Walks, stochastic
volatility models for univariate time series.  Prior specifications are flexible and explicitly encourage
users to apply prior distributions that actually reflect their beliefs. Model fit can easily be assessed
and compared with typical visualization methods, information criteria such as loglik, AIC, BIC WAIC, Bayes
factor and leave-one-out cross-validation methods. References: Hyndman (2017)
<doi:10.18637/jss.v027.i03>; Carpenter et al. (2017) <doi:10.18637/jss.v076.i01>.

Asael Alonzo Matamoros

bayesforecast

Bayesian Time Series Modeling with Stan

Cristian Cruz Torres

Andres Dala

Rob Hyndman

Mitchell O'Hara-Wild

demgbp function

<p>the format is: Time-Series (1:350) from 1984 to 1985:</p>

Format

DEM/GBP exchange rate log-returns — demgbp

DEM/GBP exchange rate log-returns

demgbp: DEM/GBP exchange rate log-returns

Description

Usage

Arguments

Format

References