Description Usage Arguments Value
Barndorff<e2><80><90>Nielsen and Shephard Realized Variance
1 | BNS(ticker, start_date, end_date, prediction_period, days_to_drop, lambda1, delta1, gamma1, phi1, testing)
|
ticker |
Stock ticker |
start_date |
Starting date of data to use |
end_date |
Ending date of data to use |
prediction_period |
How many days to predict using the model |
days_to_drop |
Number of days of realized variances to drop when fitting the model |
lambda |
The mean reverting variable |
delta |
Influences the tail thickness of the disribution |
gamma |
Influences the scale of the distribution |
phi |
Volatility of the volatility. |
testing |
Whether to use prediction_period days prior to end_date as the prediction period. If false, the prediction period takes place after end_date |
Realized variance according to the Barndorff<e2><80><90>Nielsen and Shephard model when the correct parameter values are used
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