What function to use to calculate a vector of variance ratios

I have a vector of stock returns (or prices, whichever is needed), and need to calculate the variance ratio over time. Each of the variance ratio functions that I found only returned one number, the variance ratio test number. I need a vector of variance ratios for the entire time period. Is there a function that would allow me to do this?

Answer 1

[Divyajyoti Nayak]

Hi @Jack Bratton,

You can use the 'vratiotest' function that you've mentioned to get the variance ratios across a vector. Normally the 'vratiotest' returns only the variance test rejection decision, but it has multiple arguments including a vector of variance ratios. Here's the documentation for it and some sample code:

https://www.mathworks.com/help/econ/vratiotest.html#mw_94239467-1af4-419a-9e7a-b2630620217c

load Data_GlobalIdx1
dates = datetime(dates,ConvertFrom="datenum");
TT = table2timetable(DataTable,RowTimes=dates);
LTT = varfun(@log,TT(:,2:end));
q = [2 4 8 2 4 8];
iid = logical([1 1 1 0 0 0]);
[StatTbl,ratio] = vratiotest(LTT,Period=q,IID=iid,DataVariable="log_SP")

StatTbl = 6x7 table
                h       pValue       stat      cValue    Alpha    Period     IID 
              _____    ________    ________    ______    _____    ______    _____

    Test 1    false     0.56704     0.57242     1.96     0.05       2       true 
    Test 2    false     0.33073    -0.97265     1.96     0.05       4       true 
    Test 3    true     0.030933     -2.1579     1.96     0.05       8       true 
    Test 4    false     0.70045     0.38471     1.96     0.05       2       false
    Test 5    false     0.50788    -0.66214     1.96     0.05       4       false
    Test 6    false     0.13034     -1.5128     1.96     0.05       8       false

ratio = 6×1

1.0111 0.9647 0.8763 1.0111 0.9647 0.8763

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