Description

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

Usage

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

Source

http://www.oanda.com/convert/fxhistory

References

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

Examples