Daily Exchange Rate Data Set

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This data set contains daily percentage nominal returns for the Deutschemark/British Pound exchange rate. The sample period is Jan 3, 1984 to Dec. 31, 1991 for a total of 1974 observations. The data set is from: 

Bollerslev, T. and Ghysels, E., "Periodic Autoregressive Conditional Heteroscedasticity", Journal of Business and Economic Statistics, Vol 14, 1996, pp. 139-151. 
The data set is available from the JBES Data Archive (ftp://www.amstat.org/jbes/View/). 

The variables in the data set are: 

Daily percentage nominal returns computed as: 
    100 [ln(Pt) - ln(Pt-1)] 
where Pt is the bilateral Deutschemark/British pound rate constructed from the corresponding U.S. dollar rates. 
A dummy variable that takes the value of 1 on Mondays and other days following no trading in the Deutschemark or British pound/ U.S. dollar market during regular European trading hours and 0 otherwise.