## 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))
```