| 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 | |
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 |