fitGBMs: Fit correlated geometric Brownian motions to a matrix of...
In shill1729/findistr: Common distributions used in finance
fitGBMs R Documentation
Fit correlated geometric Brownian motions to a matrix of daily log-returns time-series
Description
MLE estimates for the parameters of a vector of correlated GBMs, the mean
drift rate and the volatility coefficient.
Usage
fitGBMs(log_returns, timeScale = 1/252)
Arguments
log_returns
multi-dimensional time-series of daily log-returns
timeScale
time-scale to convert by.
Value
list containing the vector drift and matrix Sigma of point-estimates.
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| fitGBMs | R Documentation |
Fit correlated geometric Brownian motions to a matrix of daily log-returns time-series
Description
MLE estimates for the parameters of a vector of correlated GBMs, the mean drift rate and the volatility coefficient.
Usage
fitGBMs(log_returns, timeScale = 1/252)
Arguments
log_returns |
multi-dimensional time-series of daily log-returns |
timeScale |
time-scale to convert by. |
Value
list containing the vector drift and matrix Sigma of point-estimates.
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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