MarkDollar {AER} | R Documentation

## 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.

### See Also

`MarkPound`

### Examples

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

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

[Package AER version 1.2-6 Index]