Documentation for dm_fri.dat  

The file contains weekly observations from 1975 to 1990 on the 
US dollar/German mark spot and forward exchange rate changes and 
the US dollar thirty-day treasury bill rate.  

The fields are as follows:

1. yymmdd = year, month, day of the obervation;
2. day    = day of the week, usually 5 which is Friday;
3. gap    = number of days since previous observation, usually 7;
4. ds     = 100[log(spot rate in $/dm)-log(previous spot rate in $/dm)];
5. fs     = 100[log(forward rate in $/dm) - log(spot rate in $/dm)];
6. tb30   = 30-day T-Bill rate;

Reference:

Bansal, Ravi, A. Ronald Gallant, Robert Hussey, and George Tauchen 
(1994), "Nonparametric Estimation of Structural Models for High-
Frequency Currency Market Data," Journal of Econometrics 66, 251--287.