Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: stockest stocksim

Macro: stockestsim
Description: using the given data stockestsim is first estimating the parameters for the following models: a Wiener Process (model 1) and a Wiener Process with jumps where the jumps are following a compounded Poisson Jump Process (model 2) and then comparing model 1 and model 2 with the real dataset by simulation

Usage: stockestsim(data)
Input:
data n x 1 vector , data of a random process

Note:

Example:
library("finance")
data=read("motorola")
data=data[,2]
stockestsim(data)
Result:
display, showing the real data compared to the simulated

Library: finance
See also: stockest stocksim

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Härdle, Kleinow 990511
(C) MD*TECH Method and Data Technologies, 17.8.2000