CWalk3Linear: Simulated Stock Prices from Four Models

In statmanrobin/ts343AJ: Time Series Functions and Data for Stat 343

Simulated Stock Prices from Four Models

Description

Data simulated from Constant, Random Walk, Model #3, and Linear models

Usage

data("CWalk3Linear")

Format

A data frame with 29 observations on the following 6 variables.

at

Random errors from N(0,0.25)

Constant

Constant model with mean=20

RWalk

Random walk starting at 20

Model3

Model #3 with theta=0.5 and mean=20

Linear

Linear model with intercept=20, slope=0.1

t

Time indicator, starting at t=1

Details

We simulated stock prices with four different models. All use the same set of randomly generated erorrs from a N(0,0,25) distribution.

Source

Generated from class simulation

statmanrobin/ts343AJ documentation built on May 23, 2022, 4:34 p.m.