VR.plot | R Documentation |
Plotting unstandadized variance ratios against holding periods with 95percent confidence band
Standard errors under iid returns are used.
VR.plot(y, kvec)
y |
financial return |
kvec |
holding period vector |
VR |
vector of variance ratio values plotted |
Jae H. Kim & Alexios Ghalanos
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)
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