[R] Box Ljung Statistics
rdporto1 at terra.com.br
Wed Apr 25 19:01:04 CEST 2007
> I met with below mentioned statistics in paper "Stock Index Volatility
> Forecasting with High Frequency Data"
> by Eugenie Hol, Siem Jan Koopman
> I would like to ask that what is "Box-Ljung portmantacau statistic based
> on N squared autocorrelation" ?
> Is it same as "Box-Ljung Statistics" of stats package ?
Yes, it seems the same. But note that the paper computes the
statistic for the raw data and also for the squared data.
> Further, please tell me how to compute it ?
If you mean R, use the Box.test() function. If you mean theory,
see any good book on time series like Brockwell and Davis'
Introduction to Time Series and Forecasting.
> I have a return series of an Index.
> Please help me in this i am not able to get the statistics what is given
> in the paper for S & P 100:-)
I can't help you here since I don't have the 5-minute data used in
More information about the R-help