GARCH Toolbox

Data Sets

The GARCH Toolbox documentation uses the following financial time series. You can find them in the MAT-file garchdata.mat.

• DEM2GBP
• NASDAQ
• NYSE

DEM2GBP

The DEM2GBP series contains daily observations of the Deutschmark/British Pound foreign exchange rate, i.e., an FX price series. The sample period is from January 2, 1984, to December 31,1991, for a total of 1975 daily observations of FX exchange rates.

The DEM2GBP price series is derived from the corresponding daily percentage nominal returns for the Deutschemark/British Pound exchange rate computed as

where is the bilateral Deutschmark/British Pound FX rate constructed from the corresponding U.S. dollar rates. The original nominal returns, expressed in percent, were originally published in Bollerslev and Ghysels [7].

You can also obtain the percentage returns data from the Journal of Business and Economic Statistics (JBES) FTP site, ftp://www.amstat.org/JBES_View/96-2-APR/bollerslev_ghysels/bollerslev.sec41.dat.

The sample period discussed in the Bollerslev and Ghysels article is from January 3, 1984, to December 31, 1991, for a total of 1974 observations of daily percentage nominal returns. These returns, combined with an approximate closing exchange rate from January 2, 1984, obtained from OANDA.com, The Currency Site^TM (http://www.oanda.com), allow an approximate reconstruction of the corresponding FX closing price series.

This particular FX price series is included in the GARCH Toolbox documentation because it has been promoted as an informal benchmark for GARCH time-series software validation. See McCullough & Renfro [21], and Brooks, Burke, & Persand [9] for details. Note that the estimation results published in these references are based on the original percentage returns. The GARCH Toolbox presents the data as a price series merely to maintain consistency with the other two datasets highlighted throughout this manual.

NASDAQ

The NASDAQ series contains daily closing values of the Nasdaq^TM Composite Index. The sample period is from January 2, 1990, to December 31, 2001, for a total of 3028 daily equity index observations.

The Nasdaq Composite closing index values were downloaded directly from the Market Data section of the Nasdaq^TM web page, http://www.marketdata.nasdaq.com/mr4b.html.

NYSE

The NYSE series contains daily closing values of the New York Stock Exchange^TM Composite Index. The sample period is from January 2, 1990, to December 31, 2001, for a total of 3028 daily equity index observations of the NYSE Composite Index.

The NYSE Composite Index daily closing values were downloaded directly from the Market Information section of the NYSE^TM web page, http://www.nyse.com/marketinfo/marketinfo.html.

Technical Conventions

GARCH Overview