| 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.