BNSRealizedVariance: Barndorff<e2><80><90>Nielsen and Shephard Realized Variance
In loftina/FinMod: Financial Models for Variance and Volatility
Description
Usage
Arguments
Value
Description
The Barndorff<e2><80><90>Nielsen and Shephard model's approximation for realized variance.
Usage
1
BNSRealizedVariance(realizedVar_0, time, lambda, delta, gamma, phi)
Arguments
realizedVar_0
Initial realized variance of a stock repeated T times
time
Number of realized variance observations
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.
Value
Realized variance according to the Barndorff<e2><80><90>Nielsen and Shephard model when the correct kappa value is used
loftina/FinMod documentation built on May 26, 2019, 10:35 a.m.
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Description Usage Arguments Value
Description
The Barndorff<e2><80><90>Nielsen and Shephard model's approximation for realized variance.
Usage
1 | BNSRealizedVariance(realizedVar_0, time, lambda, delta, gamma, phi)
|
Arguments
realizedVar_0 |
Initial realized variance of a stock repeated T times |
time |
Number of realized variance observations |
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. |
Value
Realized variance according to the Barndorff<e2><80><90>Nielsen and Shephard model when the correct kappa value is used
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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