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vatin
2007 Apr 25
1
Box Ljung Statistics
Hi All R Experts,
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 ?
Further, please tell me how to compute it ?
I have a return series of an Index.
Please help me in thi...