est.ou: Estimates the parameters of the Ornstein-Uhlenbeck process.~~

Description Usage Arguments Value Note Author(s) References Examples

Description

Estimates the parameters of the Ornstein-Uhlenbeck process dr = alpha(beta-r)dt + sigma dW.

Usage

1
est.ou(data, method = "Hessian", days = 360, significanceLevel = 0.95)

Arguments

data

annual bonds yields in percentage;

method

'Hessian' (default), 'num';

days

number of days per year (default: 360);

significanceLevel

(95% default).

Value

param

parameters (alpha, beta, sigma) of the model;

error

estimation errors for the given confidence level.

Note

Translated from Matlab by David-Shaun Guay (HEC Montreal grant).

Author(s)

Bruno Remillard

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

1
2
data(data.vasicek)
out = est.ou(data.vasicek[,1]) #The first colum contains returns.

Example output

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 

SMFI5 documentation built on May 2, 2019, 10:25 a.m.

Related to est.ou in SMFI5...