R: DEM/GBP Exchange Rate Returns

MarkPound {AER} | R Documentation

## DEM/GBP Exchange Rate Returns

### Description

A daily time series of percentage returns of Deutsche mark/British pound (DEM/GBP) exchange rates from 1984-01-03 through 1991-12-31.

### Usage

    data("MarkPound")

### Format

A univariate time series of 1974 returns (exact dates unknown) for the DEM/GBP exchange rate.

### Details

Greene (2003, Table F11.1) rounded the series to six digits while eight digits are given in Bollerslev and Ghysels (1996). Here, we provide the original data. Using `round` a series can be produced that is virtually identical to that of Greene (2003) (except for eight observations where a slightly different rounding arithmetic was used).

### 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.

Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.

### See Also

`Greene2003`, `MarkDollar`

### Examples

    ## data as given by Greene (2003)
    data("MarkPound")
    mp <- round(MarkPound, digits = 6)

    ## Figure 11.3 in Greene (2003)
    plot(mp)

    ## Example 11.8 in Greene (2003), Table 11.5
    library("tseries")
    mp_garch <- garch(mp, grad = "numerical")
    summary(mp_garch)
    logLik(mp_garch)
    ## Greene (2003) also includes a constant and uses different
    ## standard errors (presumably computed from Hessian), here
    ## OPG standard errors are used. garchFit() in "fGarch"
    ## implements the approach used by Greene (2003).

    ## compare Errata to Greene (2003)
    library("dynlm")
    res <- residuals(dynlm(mp ~ 1))^2
    mp_ols <- dynlm(res ~ L(res, 1:10))
    summary(mp_ols)
    logLik(mp_ols)
    summary(mp_ols)$r.squared * length(residuals(mp_ols))

[Package AER version 1.2-5 Index]