VR.minus.1 {vrtest}R Documentation

Absolute Value of (VR - 1)

Description

This value is sometimes used to measure the degree of market efficiency

Usage

VR.minus.1(y, kvec)

Arguments

y financial return time series
kvec a vector of holding periods

Value

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

Note

see Auto.VR function for automatic selection of holding periods

Author(s)

Jae H. Kim

Examples

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)

[Package vrtest version 0.90 Index]