fitSymmetricMerton: Fit the symmetric Merton jump diffusion model to log-return...
In shill1729/findistr: Common distributions used in finance
View source: R/merton-fitting.R
fitSymmetricMerton R Documentation
Fit the symmetric Merton jump diffusion model to log-return data.
Description
Use base R's optim to maximize the log-likelihood in
the Merton jump diffusion model with symmetric jumps.
Usage
fitSymmetricMerton(x, k = 1/252, numDev = 1)
Arguments
x
the data-set of daily log returns
k
time scale, defaults to 1/252 for daily data
numDev
number of daily-standard deviations to use in initial guess for jump sizes.
Value
output from optim
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/merton-fitting.R
| fitSymmetricMerton | R Documentation |
Fit the symmetric Merton jump diffusion model to log-return data.
Description
Use base R's optim to maximize the log-likelihood in
the Merton jump diffusion model with symmetric jumps.
Usage
fitSymmetricMerton(x, k = 1/252, numDev = 1)
Arguments
x |
the data-set of daily log returns |
k |
time scale, defaults to 1/252 for daily data |
numDev |
number of daily-standard deviations to use in initial guess for jump sizes. |
Value
output from optim
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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