VR.plot: Variance Ratio Plot

Description Usage Arguments Value Author(s) Examples

View source: R/VR.plot.R

Description

Plotting unstandadized variance ratios against holding periods with 95percent confidence band

Standard errors under iid returns are used.

Usage

1
VR.plot(y, kvec)

Arguments

y

financial return

kvec

holding period vector

Value

VR

vector of variance ratio values plotted

Author(s)

Jae H. Kim & Alexios Ghalanos

Examples

1
2
3
4
5
6
data(exrates)
y <- exrates$ca                                 
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
VR.plot(r,kvec)

Example output

$VR
           VR
k=2  1.076190
k=3  1.111675
k=4  1.120701
k=5  1.100781
k=6  1.091509
k=7  1.075840
k=8  1.061822
k=9  1.051629
k=10 1.037624

vrtest documentation built on May 29, 2017, 9:04 a.m.