VR.plot {vrtest}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

Examples

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)

[Package vrtest version 0.90 Index]