Library: | times |
See also: | robwhittle lo kpss rvlm lobrob roblm pgram |
Quantlet: | gph | |
Description: | Estimation of the degree of long memory of a time series by using a log-periodogram regression |
Usage: | d = gph(x) | |
Input: | ||
x | vector | |
Output: | ||
d | scalar |
;estimation of the degree of long-memory of the volatility by spectral regression library("times") x = read("dmus58.dat") y = abs(tdiff(x)) d = gph(y) d
Contents of d [1,] 0.53257
Library: | times |
See also: | robwhittle lo kpss rvlm lobrob roblm pgram |