VR.plot {vrtest} | 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
data(exrates) y <- exrates$ca # read Canadian exchange rate nob <- length(y) r <- log(y[2:nob])-log(y[1:(nob-1)]) # log return calculation kvec <- c(2,5,10) VR.plot(r,kvec)