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.
data(dmbp)A data.frame containing 2x1974 observations.
Bollerslev, T. and Ghysels, E. 1996, Periodic Autoregressive Conditional Heteroscedasticity , Journal of Business and Economic Statistics, 14, 139--151.