dmbp

<p>The Bollerslev-Ghysel benchmark dataset. The variables in the data set are
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, and 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.
The data spans the period from 1984-01-03 through 1991-12-31, but exact dates
are not known as this dataset did not provide an index.
This dataset is included as it is used for the GARCH benchmark.</p>

datasets

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Alexios Ghalanos

tsgarch

Univariate GARCH Models

Alexios Galanos

dmbp function


<div class="section" id="dmbp">
<h3><code>dmbp</code></h3><p></p><p>
</p><p>A data.frame containing 2x1974 observations</p><dl>
<dt>rate</dt>
<dd><p>The exchange rate</p></dd><p></p><p><dt>monday</dt>
<dd><p>Dummy indicator (see descriptiom)</p></dd></p><p>
</p></dl><p></p><p></p></div>


Format

Deutschemark/British pound Exchange Rate — dmbp


<div class='section' id='dmbp'>
<h3><code>dmbp</code></h3>


<p>A data.frame containing 2x1974 observations</p><dl>
<dt>rate</dt>
<dd><p>The exchange rate</p></dd>

<dt>monday</dt>
<dd><p>Dummy indicator (see descriptiom)</p></dd>


</dl>

</div>


dmbp: Deutschemark/British pound Exchange Rate

Description

Usage

Arguments

Format

`dmbp`