Code covered by the BSD License  

Highlights from
Variance Ratio Test

3.75

3.8 | 4 ratings Rate this file 10 Downloads (last 30 days) File Size: 2.01 KB File ID: #8489

Variance Ratio Test

by Anis Ben Hassen

 

16 Sep 2005 (Updated 01 Feb 2013)

Variance ratio and related statistics.

| Watch this File

File Information
Description

Function that allows to compute the Variance Ratio Test of a time series with and without the heteroskedasticity assumption.
MATLAB release MATLAB 7.11 (R2010b)
Other requirements Use the function "xrand.m" to compute the p-values using bootstrap simulation technique.
Tags for This File  
Everyone's Tags
analysis, autocorrelation, finance, modeling, random walk, test
Tags I've Applied
Add New Tags Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (4)
10 Jul 2007 Jorge Ruiz

very good thank you
10 Oct 2006 yunus ozcan  
03 Oct 2005 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'.

23 Sep 2005 tirma kbira  
Updates
01 Feb 2006

improvement
24 Jan 2013

Function is standalone, no need to rkp function anymore.

01 Feb 2013

p-values from the normal distribution

Contact us