dmbp

The Bollerslev-Ghysel benchmark dataset. The variables in the data set are: 
<code>1.</code> 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. 
<code>2.</code> 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.

datasets

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Alexios Ghalanos

rugarch

Univariate GARCH Models

Alexios Galanos

Tobias Kley

dmbp function

A data.frame containing 2x1974 observations.

Format

The Bollerslev-Ghysel benchmark dataset. The variables in the data set are: 
<code>1.</code> 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. 
<code>2.</code> 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.

dmbp: data: Deutschemark/British pound Exchange Rate

Description

Usage

Arguments

Format

References