% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/data.R
\docType{data}
\name{euro_usd.its}
\alias{euro_usd.its}
\title{Euro/Dollar Exchange Rate Daily High/Low Interval Time Series}
\format{
A data frame with 520 observations and 3 variables:
\itemize{
    \item \code{date}: Trading date (Date class).
    \item \code{low}: Daily low EUR/USD exchange rate.
    \item \code{high}: Daily high EUR/USD exchange rate.
}
}
\source{
Yahoo Finance, ticker \code{EURUSD=X}. Downloaded via the
\pkg{quantmod} package.
}
\usage{
data(euro_usd.its)
}
\description{
Daily high and low values of the EUR/USD exchange rate from January 1,
2004 to December 30, 2005 (520 trading days). Inspired by the dataset
used by Arroyo, Espinola and Mate (2011) for exponential smoothing
methods for interval time series.
}
\details{
The EUR/USD exchange rate is the most traded currency pair in the world
foreign exchange market. Each observation represents a trading day with
the daily low and high exchange rates (USD per EUR) forming an interval.
Note: the original study by Arroyo et al. (2011) used the period
2002--2003 (519 trading days); this dataset covers 2004--2005 because
Yahoo Finance historical data for this ticker is only available from
late 2003 onward.
}
\section{Metadata}{

\tabular{ll}{
  \strong{Sample size (n)} \tab 520 \cr
  \strong{Variables (p)} \tab 3 (date, low, high) \cr
  \strong{Subject area} \tab Finance / Foreign Exchange \cr
  \strong{Symbolic format} \tab Interval time series \cr
  \strong{Analytical tasks} \tab Forecasting, Time series analysis
}
}

\examples{
data(euro_usd.its)
head(euro_usd.its)
plot(euro_usd.its$date, euro_usd.its$high, type = "l", col = "red",
     ylab = "EUR/USD", xlab = "Date",
     main = "EUR/USD Daily High/Low (2004-2005)")
lines(euro_usd.its$date, euro_usd.its$low, col = "blue")
legend("topleft", c("High", "Low"), col = c("red", "blue"), lty = 1)
}
\references{
Arroyo, J., Espinola, R. and Mate, C. (2011). Different approaches to
forecast interval time series: A comparison in finance. \emph{Computational
Economics}, \strong{37}(2), 169--191.
}
\keyword{datasets}
\keyword{exchange}
\keyword{finance}
\keyword{interval}
\keyword{timeseries}
