VR.minus.1 | R Documentation |
This value is sometimes used to measure the degree of market efficiency
VR.minus.1(y, kvec)
y |
financial return time series |
kvec |
a vector of holding periods |
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 |
see Auto.VR function for automatic selection of holding periods
Jae H. Kim
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)
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