SFEDaxReturnDistribution (R 2.13.1)

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Thu, May 31 2012 by Dedy Dwi Prastyo

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Description: -


data<-read.table("dax99.dat")
dax99=data[,2]				# first line is date, second XetraDAX 1999
lndax99=log(dax99)
ret=diff(lndax99)
fh = density(ret, bw =0.03)		# estimate Dax return density
mu=mean(ret)				# empirical mean
si=sqrt(var(ret))			# empirical standard deviation (std)
x  = si*rnorm(400)+mu  	      # generate artifical data from the same mean and std
f  = density(x, bw =0.03)			# estimate its density
plot(fh,col=4,lwd=2,main="DAX Density versus Normal Density",xlab="Returns",ylab= "Density")
lines(f,lwd=2)