Gaurav, > I met with below mentioned statistics in paper "Stock Index Volatility > Forecasting with High Frequency Data" > by Eugenie Hol, Siem Jan Koopman > http://ideas.repec.org/p/dgr/uvatin/20020068.html > > 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 the paper. Rogerio ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
