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lradc
2009 Jun 02
2
variance does not equal serial covariance of lag zero?
Dear all,
Does this make any sense:
var() = cov() != acf(lag.max=0, type="covariance")?
I have daily data of IBM for May 2005, and I'm using the logarithmic return:
> ibm200505$LRAdj.Close
[1] NA 0.0203152 0.0005508 -0.0148397 -0.0025182 0.0092025
-0.0013889
[8] 0.0098196 -0.0103757 -0.0274917 0.0005716 -0.0159842 -0.0074306
0.0091710
[15] 0.0002898 0.0226306 0.0036754 0.0005643 0.0206567 -0.0079052
0.0005568
> with(ibm200505, {var(RAdj.Close, na.rm=TRU...