- Example:
;nonparametric estimation of degree of long-memory in volatility
library("times")
x = read("dmus58.dat")
x=x[1:2000]
y = abs(tdiff(x))
d = roblm(y)
d
- Result:
Contents of d
[1,] " d Bandwidth q "
[2,] "_______________________________"
[3,] ""
[4,] " 0.0927 500 0.5"
[5,] " 0.1019 250 0.5"
[6,] " 0.1199 125 0.5"
- Example:
library("times")
x = read("dmus58.dat")
x = x[1:2000]
y = abs(tdiff(x[,1]))
q = #(0.5,0.7)
d = roblm(y,q)
d
- Result:
Contents of d
[1,] " d Bandwidth q "
[2,] "______________________________"
[3,] ""
[4,] " 0.0927 500 0.5"
[5,] " 0.0750 500 0.7"
[6,] " 0.1019 250 0.5"
[7,] " 0.0810 250 0.7"
[8,] " 0.1199 125 0.5"
[9,] " 0.1230 125 0.7"
- Example:
library("times")
x = read("dmus58.dat")
x = x[1:2000]
y = abs(tdiff(x[,1]))
q = #(0.5,0.7)
m = #(250,500,750)
d = roblm(y,q,m)
d
- Result:
Contents of d
[1,] " d Bandwidth q "
[2,] "______________________________"
[3,] ""
[4,] " 0.1019 250 0.5"
[5,] " 0.0810 250 0.7"
[6,] " 0.0927 500 0.5"
[7,] " 0.0750 500 0.7"
[8,] " 0.0700 750 0.5"
[9,] " 0.0876 750 0.7"
- Example:
library("times")
x = read("dmus58.dat")
x = x[1:2000]
y = abs(tdiff(x[,1]))
m = #(500,250,125)
d = roblm(y,m)
d
- Result:
Contents of d
[1,] " d Bandwidth q "
[2,] "_______________________________"
[3,] ""
[4,] " 0.0927 500 0.5"
[5,] " 0.1019 250 0.5"
[6,] " 0.1199 125 0.5"