Variance Ratio Plot

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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

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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)