VR.plot: Variance Ratio Plot
In vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
VR.plot R Documentation
Variance Ratio Plot
Description
Plotting unstandadized variance ratios against holding periods with 95percent confidence band
Standard errors under iid returns are used.
Usage
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
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
VR.plot(r,kvec)
vrtest documentation built on Aug. 31, 2023, 9:08 a.m.
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| VR.plot | R Documentation |
Variance Ratio Plot
Description
Plotting unstandadized variance ratios against holding periods with 95percent confidence band
Standard errors under iid returns are used.
Usage
VR.plot(y, kvec)
Arguments
y |
financial return |
kvec |
holding period vector |
Value
VR |
vector of variance ratio values plotted |
Author(s)
Jae H. Kim & Alexios Ghalanos
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
VR.plot(r,kvec)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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