ged_fit: Fit Generalized Error Distribution to a vector of...

In StockDistFit: Fit Stock Price Distributions

Fit Generalized Error Distribution to a vector of returns/stock prices.

Description

This function fits the Generalized Error Distribution (GED) to a given data vector using the ged_fit function from the fGarch package. It returns the estimated parameters along with the AIC and BIC values for the fitted distribution.

Usage

ged_fit(vec)

Arguments

vec	A numeric vector of data.

Value

A list with the following elements:

params

A numeric vector of length 3 containing the fitted GED parameters: shape, scale, and location.

aic

The Akaike Information Criterion (AIC) for the fitted model.

bic

The Bayesian Information Criterion (BIC) for the fitted model.

See Also

norm_fit, t_fit, cauchy_fit, ghd_fit, hd_fit, sym.ghd_fit, sym.hd_fit, vg_fit, nig_fit, sym.vg_fit, skew.t_fit, skew.normal_fit, skew.ged_fit

Examples

stock_prices <- c(10, 11, 12, 13, 14, 17, 18)
returns <- diff(log(stock_prices))
ged_fit(returns)

StockDistFit documentation built on May 31, 2023, 8:59 p.m.