vrtest (version 1.2)

VR.minus.1: Absolute Value of (VR - 1)

Description

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

Usage

VR.minus.1(y, kvec)

Value

VR.auto

the value of VR-1 with automatic selection of holding vectors

Holding.Peiods

the vector of holding periods

VR.kvec

the values of VR-1 for the chosen holding periods

Arguments

y

financial return time series

kvec

a vector of holding periods

Author

Jae H. Kim

Examples

data(exrates)
y <- exrates$ca             
nob <- length(y)
kvec <- c(2,5,10)
r <- log(y[2:nob])-log(y[1:(nob-1)])          
VR.minus.1(r,kvec)