 Usage:  dat=stockest(data)  

 

 Input:



  data                   n x 1 vector , data of a random process 

                         

 Output:



  mue                    scalar , increasing rate of return in model 1 

                         

  sigma                  scalar , volatility of the returns in model 1 

                         

  lambda                 scalar , number of jumps in model 2 

                         

  mue2                   scalar , increasing rate of return in the 

                         diffusion part of model 2 

                         

  sigma2                 scalar , volatility of the returns in the 

                         diffusion part of model 2 

                         

  jump                   scalar , volatility for the height of jumps 

                         in model 2 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

