MarkDollar {AER} | R Documentation |
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.
data("MarkDollar")
A univariate time series of 518 returns (exact dates unknown) for the DEM/USD exchange rate.
Journal of Business \& Economic Statistics Data Archive.
Bollerslev, T., and Ghysels, E. (1996). Periodic Autoregressive Conditional Heteroskedasticity. Journal of Business \& Economic Statistics, 14, 139–151.
library("tseries") data("MarkDollar") ## GARCH(1,1) fm <- garch(MarkDollar, grad = "numerical") summary(fm) logLik(fm)