Variance Ratio Test

Variance ratio and related statistics.

Description

Function that allows to calculate the Variance Ratio Test of a time series with and without the heteroskedasticity assumption.

• MATLAB release: MATLAB 7 (R14)
• Other requirements: Use the function "xrand.m" to compute the p-values using bootstrap simulation technique.

[tirma kbira]

 

[Dimitri Shvorob]

Ok, line 1 is 'x = log(x)'; poor coding style aside, I don't see log transformations in Lo and McKinlay's (1988) paper. Line 3 invokes function RKP, which I cannot find among the functions of Matlab or Statistics Toolbox. This prevents me from going further through the maze of uncommented expressions involving variables like 'moy' and 'rk1'.

[yunus ozcan]

 

[Jorge Ruiz]

very good thank you