Library: | finance |
See also: | stockest stocksim |
Quantlet: | 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 |
library("finance") data=read("motorola") data=data[,2] stockestsim(data)
display, showing the real data compared to the simulated
Library: | finance |
See also: | stockest stocksim |