4.4 | 5 ratings Rate this file 149 downloads (last 30 days) File Size: 2.73 KB File ID: #794

Variance Ratio Test

24 Sep 2001 (Updated 16 Dec 2004)

No BSD License

Calculates the Variance Ratio Test

File Information
Description	Calculates the Variance Ratio Test of a time series, with or without the heteroskedasticity correction.
MATLAB release	MATLAB 6.5 (R13)

Tags for This File
Everyone's Tags	analysis, finance, modeling, variance ratio test
Tags I've Applied
Add New Tags	Please login to tag files.

Comments and Ratings (8)
06 Feb 2003	Nick Laxton	Hi - the only downside to this is that whilst q can be a vector, the time series cannot be a matrix in the sense of a set of time series. I have done the opposite to you by making the time series a matrix if required but computing for only scalar q. However I was pleased enough to use your function as a consistency check to mine... Regards, Nick.
21 Feb 2006	Martin Williams	This is a great script! I'd never used Matlab before! I Didnt even know it existed buti managed to sus out how to use this script :) Id give you a tip! two problems! The first is that there isnt a percentage sign infront of the the top Vr bit and brackets! The second is that if you run the whole script you get that irritating nargin thing. Don't worry though, just copy and paste from the point where is says... %calculate the mean
14 Jul 2007	BIZHAN ABEDINI
06 Oct 2007	sab mao	thank you
03 Dec 2007	Simon Zhang
04 Sep 2008	hojatallah goudarzi	thanks a lot
10 Mar 2009	Kevin	This script does not seem exactly the same as Lo and Mackinlay.
27 Jul 2009	Jaime Zamora

Please login to add a comment or rating.

Updates
05 Jan 2004	screenshot added
16 Dec 2004	major bug fix thanks to David GU

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Alexandros Leontitsis	22 Oct 2008 06:37:56
modeling	Alexandros Leontitsis	22 Oct 2008 06:37:56
analysis	Alexandros Leontitsis	22 Oct 2008 06:37:56
variance ratio test	Alexandros Leontitsis	22 Oct 2008 06:37:56

MATLAB Central Terms of Use

NOTICE: Any content you submit to MATLAB Central, including personal information, is not subject to the protections which may be afforded information collected under other sections of The MathWorks, Inc. Web site. You are entirely responsible for all content that you upload, post, e-mail, transmit or otherwise make available via MATLAB Central. The MathWorks does not control the content posted by visitors to MATLAB Central and, does not guarantee the accuracy, integrity, or quality of such content. Under no circumstances will The MathWorks be liable in any way for any content not authored by The MathWorks, or any loss or damage of any kind incurred as a result of the use of any content posted, e-mailed, transmitted or otherwise made available via MATLAB Central. Read the complete Terms prior to use.