zpp_general: Compute the general version of the ZPP
In deanfantazzini/bitcoinFinance: Quantitative Finance with Cryptocurrencies

zpp_general

R Documentation

Compute the general version of the ZPP

Description

This function computes the general version of the ZPP by simulating a number of trajectories (total number is given by scenarios) over n.days time-steps, given an estimated GARCH model

Usage

zpp_general(
  prices,
  mean.model = list(armaOrder = c(0, 0)),
  variance.model = list(garchOrder = c(1, 1)),
  distribution.model = "norm",
  n.days = 250,
  scenarios = 20000
)

Arguments

`prices`	is a numeric vector containing the prices series
`mean.model`	is a list specifying the ARMA order for `ugarchspec`
`variance.model`	is a list containing the variance model specification for `ugarchspec`
`distribution.model`	is the conditional density to use for the innovations. See `ugarchspec` for details
`n.days`	is the number of time-steps
`scenarios`	is the total number fo trajectories

Value

zpp is the estimated ZPP

Examples

btc_data<-dat<-bitcoinity_download(currency="USD", data_type="price",
               exchange="coinbase",time_length = "2y")
prices<-btc_data$avg
zpp<-zpp_general(prices)
zpp

deanfantazzini/bitcoinFinance documentation built on June 12, 2024, 4:10 p.m.