SFEDaxReturnDistribution (R 2.13.1)
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)