VR.minus.1: Absolute Value of (VR - 1)

In vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

Absolute Value of (VR - 1)

Description

This value is sometimes used to measure the degree of market efficiency

Usage

VR.minus.1(y, kvec)

Arguments

y	financial return time series
kvec	a vector of holding periods

Value

VR.auto	the value of VR-1 with automatic selection of holding vectors
Holding.Peiods	the vector of holding periods
VR.kvec	the values of VR-1 for the chosen holding periods

Note

see Auto.VR function for automatic selection of holding periods

Author(s)

Jae H. Kim

Examples

data(exrates)
y <- exrates$ca             
nob <- length(y)
kvec <- c(2,5,10)
r <- log(y[2:nob])-log(y[1:(nob-1)])          
VR.minus.1(r,kvec)

vrtest documentation built on Aug. 31, 2023, 9:08 a.m.