Library: | finance |
See also: | stockest stocksim |
Quantlet: | stockestsim | |
Description: | using the given data stockestsim estimates the parameters for the following models: model 1, a Wiener Process, and model 2, a Wiener Process with jumps which are following a compounded Poisson Jump Process; after that both models are compared with the real dataset by a 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)
A display showing the data compared to the simulated processes.