R Dataset / Package Ecdat / Garch

On this R-data statistics page, you will find information about the Garch data set which pertains to Daily Observations on Exchange Rates of the US Dollar Against Other Currencies . The Garch data set is found in the Ecdat R package. You can load the Garch data set in R by issuing the following command at the console data("Garch"). This will load the data into a variable called Garch. If R says the Garch data set is not found, you can try installing the package by issuing this command install.packages("Ecdat") and then attempt to reload the data with the library() command. If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the Garch R data set. The size of this file is about 130,919 bytes.

Daily Observations on Exchange Rates of the US Dollar Against Other Currencies

Description

daily observations from 1980–01 to 1987–05–21

number of observations : 1867

observation : country

country : World

Usage

data(Garch)

Format

A dataframe containing :

date: date of observation (yymmdd)
day: day of the week (a factor)
dm: exchange rate Dollar/Deutsch Mark
ddm: dm-dm(-1)
bp: exchange rate of Dollar/British Pound
cd: exchange rate of Dollar/Canadian Dollar
dy: exchange rate of Dollar/Yen
sf: exchange rate of Dollar/Swiss Franc

References

Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 8.

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