Carol Alexander and Emese Lazar, "Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling", Journal of Applied Econometrics, Vol. 21, No. 3, 2006, pp. 307-336. There is one data file with three daily exchange rate return series, plus the associated dates in format dd/mm/yyyy. This file, al-data.txt, is an ASCII file in DOS format. It is zipped in the file al-data.zip. Unix users should use "unzip =a". date_gbp is the date series associated with the GBP/USD return series gbp is the return series on the GBP/USD exchange rate date_eur is the date series associated with the EUR/USD return series eur is the return series on the EUR/USD exchange rate date_jpy is the date series associated with the JPY/USD return series jpy is the return series on the JPY/USD exchange rate The data covers the period 2 January 1989 to 31 December 2002, provided by Datastream (3652 data points). The returns were computed as annualized differences in the logarithm of daily cloisng prices. Zero returns (a total of 100, 160 and 190 data points) have been removed as they most often indicate missing data. Also, AR(1) models were fitted to the GBP and EUR series to remove autocorrelation. Subsequently, the residuals from the AR(1) regressions were used for the estimations in the paper. This way, the final number of observations for the three return series is as follows: gbp - 3550; eur - 3490 and jpy - 3461 observations. The results were generated using a program written in Ox version 3.30 (Doornik, 2002) and the G@rch package version 3.0 (Laurent, S. and Peters, J.-P., 2002) - approximate size of program is 350 Kb. The zip file al-progs.zip contains three files: garch_enyem3.h garch_enyem3.ox startingvalues3.txt These are all ASCII files in DOS format.