A daily time series of percentage returns of Deutsche mark/British pound (DEM/GBP) exchange rates from 1984-01-03 through 1991-12-31.
A univariate time series of 1974 returns (exact dates unknown) for the DEM/GBP exchange rate.
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
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).
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.
Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.
## 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))