VR.minus.1 {vrtest} | 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 ABS(VR-1) with automatic selection of holding vectors |
Holding.Peiods |
the vector of holding periods |
VR.kvec |
the values of ABS(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 # read Canadian exchange rate nob <- length(y) kvec <- c(2,5,10) r <- log(y[2:nob])-log(y[1:(nob-1)]) # log return calculation VR.minus.1(r,kvec)