HullWhiteVariance: Hull-White Variance of Realized Variance
In loftina/FinMod: Financial Models for Variance and Volatility
Description
Usage
Arguments
Value
Description
The variance of the realized variance of a stock according to
the Hull-White model.
Usage
1
HullWhiteVariance(realizedVar_0, time, kappa, zeta)
Arguments
realizedVar_0
Initial realized variance of a stock repeated T times
time
Number of realized variance observations
kappa
The drift coefficient of the model.
zeta
The Diffusion coefficient of the model.
Value
The variance of the realized variance according to the Hull-White model when correct kappa and zeta values are used
loftina/FinMod documentation built on May 26, 2019, 10:35 a.m.
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Description Usage Arguments Value
Description
The variance of the realized variance of a stock according to the Hull-White model.
Usage
1 | HullWhiteVariance(realizedVar_0, time, kappa, zeta)
|
Arguments
realizedVar_0 |
Initial realized variance of a stock repeated T times |
time |
Number of realized variance observations |
kappa |
The drift coefficient of the model. |
zeta |
The Diffusion coefficient of the model. |
Value
The variance of the realized variance according to the Hull-White model when correct kappa and zeta values are 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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