zpp_norm_garch11: Compute the closed-form normal ZPP with GARCH(1,1) errors

In deanfantazzini/bitcoinFinance: Quantitative Finance with Cryptocurrencies

Compute the closed-form normal ZPP with GARCH(1,1) errors

Description

This function computes the closed-form normal ZPP assuming the price-differenced series follows a model with constant mean and GARCH(1,1) errors

Usage

zpp_norm_garch11(prices, n.days = 250)

Arguments

prices	is a numeric vector containing the prices series
n.days	is the number of time-steps

Value

closed.zpp.garch is the estimated closed-form normal ZPP

Examples

library(rugarch)
btc_data<-dat<-bitcoinity_download(currency="USD", data_type="price",
               exchange="coinbase",time_length = "2y")
prices<-btc_data$avg
zpp.norm.garch11<-zpp_norm_garch11(prices)
zpp.norm.garch11

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