Shi-Miin Liu and B. Wade Brorsen, "Maximum Likelihood Estimation of a
GARCH-stable Model", Journal of Applied Econometrics, Vol. 10, No. 3, 
1995, pp. 273-285.

E-mail adresseses: chlbt044@twnmoe10.edu.tw and brorsen@okway.okstate.edu 
Date: Accepted September 1994 
Files:bpch.dat cdch.dat jych.dat dmch.dat sfch.dat
                                                                                
Each file contains the changes in the exchange rate in U.S dollars per the
foreign currency. Each record contains one daily observation. The data
begin in September 1980 and end in August 1990. The first two letters in
each file name are the initials of the foreign currency: bp is British
Pound, cd is Canadian dollar, jy is Japanese Yen, dm is Deutsche Mark, and
sf is Swiss Franc. 
                                                                                
These files were zipped on a Unix system, so they may need to be 
converted to DOS format for use on a PC.