I have an array that I want to use Ljung Box Test on. In Matlab, there is lbqtest function that works on array.
I want to know how I can do this in Julia.
nz = 1250 z =randn(nz,1)# randomly generated z distributed N[0,1] sig=0.20*sqrt(1/252); #defining the trade day volatility #of logarithmic change from annualized volatility 20-percent cv = zeros(nz,1) ep = zeros(nz,1) G = 0.75 #weight on past conditional variance A = 0.20 #weight on innovation cv = sig^2 ep = 0 kappa = sig*sig*(1-(A+G)); #unconditional variance kappa/(1-(A+G)) for j = 2:nz #for loop creating conditional variance process cv[j] = kappa + G*cv[j-1] + A*(ep[j-1]^2) ep[j] = sqrt(cv[j])*z[j] #process innovation end mcv = exp.(ep) mcv = P0 Pcv = cumprod(mcv) xcv = log(Pcv[2:end])-log(Pcv[1:end-1]) using HypothesisTests LjungBoxTest(xcv) # does not work