AER: MarkDollar – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

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.

Source

Journal of Business & Economic Statistics Data Archive.

http://www.amstat.org/publications/jbes/upload/index.cfm?fuseaction=ViewArticles&pub=JBES&issue=96-2-APR

References

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

Examples

library("tseries")
data("MarkDollar")

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

AER

Applied Econometrics with R

v1.2-10

GPL-2 | GPL-3

Authors

Christian Kleiber [aut] (<https://orcid.org/0000-0002-6781-4733>), Achim Zeileis [aut, cre] (<https://orcid.org/0000-0003-0918-3766>)

Initial release

2022-06-13