Description Usage Arguments Value Note Author(s) References Examples
Estimates the parameters of the Ornstein-Uhlenbeck process dr = alpha(beta-r)dt + sigma dW.
1 |
data |
annual bonds yields in percentage; |
method |
'Hessian' (default), 'num'; |
days |
number of days per year (default: 360); |
significanceLevel |
(95% default). |
param |
parameters (alpha, beta, sigma) of the model; |
error |
estimation errors for the given confidence level. |
Translated from Matlab by David-Shaun Guay (HEC Montreal grant).
Bruno Remillard
Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).
1 2 | data(data.vasicek)
out = est.ou(data.vasicek[,1]) #The first colum contains returns.
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Loading required package: ggplot2
Loading required package: reshape
Loading required package: corpcor
Fisher information computed with the numerical Hessian from fminunc (Appendix B.5.1)
alpha <- 1.4066 /+ 1.0167
beta <- 2.6056 /+ 0.2797
sigma <- 0.3312 /+ 0.0121
phi <- 0.3312 /+ 0.0028
Estimation with the explicit method
alpha = 1.4068 /+ 1.6470
beta = 2.6080 /+ 0.2308
sigma = 0.3313 /+ 5.2007
phi = 0.9961 /+ 0.0046
gamma = 0.0174 /+ 0.0006
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