vrtest (version 1.1)

VR.plot: 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)

Value

VR

vector of variance ratio values plotted

Arguments

y

financial return

kvec

holding period vector

Author

Jae H. Kim & Alexios Ghalanos

Examples

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)