Description Usage Arguments Value
Heston Realized Variance and Volitility
1 |
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 |
kappa |
Mean reverting parameter. |
theta |
The long term average. |
gamma |
The volatiltiy of the volatility. |
variance |
Boolean where true predicts variance and false predicts volitility |
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 or volitility according to the Heston model when the correct parameter values are used
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