hd_fit: Fit Hyperbolic distribution to return/stock prices.

In StockDistFit: Fit Stock Price Distributions

Fit Hyperbolic distribution to return/stock prices.

Description

This function fits the Hyperbolic distribution to a given data vector using the fit.hypuv function from the ghyp package. It returns the estimated parameters along with the AIC and BIC values for the fitted distribution.

Usage

hd_fit(vec)

Arguments

vec	a numeric vector containing the data to be fitted.

Value

a list containing the following elements:

par

a numeric vector of length 4 containing the estimated values for the parameters of the fitted distribution: alpha (scale), mu (location), sigma (standard deviation), and gamma (skewness).

aic

the Akaike information criterion (AIC) value for the fitted distribution.

bic

the Bayesian information criterion (BIC) value for the fitted distribution.

See Also

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

Examples

stock_prices <- c(10, 11, 12, 13, 14, 15, 16)
returns <- diff(log(stock_prices))
hd_fit(returns)

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