fit.NH {QRMlib}R Documentation

Fit NIG or Hyperbolic Distribution

Description

fits univariate NIG or hyperbolic distribution

Usage

fit.NH(data, case="NIG", symmetric=FALSE, se=FALSE)

Arguments

data vector of data
case whether NIG ("NIG") or hyperbolic ("hyp"); default is NIG
symmetric whether symmetric or asymmetric; default is FALSE
se whether standard errors should be calculated

Details

See pages 78-80 of QRM. Case ‘NIG’ sets lambda to -1/2; case ‘hyp’ sets lambda to 1; no other cases are allowed.

Value

list containing parameter estimates, standard errors and details of fit

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

fit.st, fit.mNH, fit.mst

Examples

data(DJ);
Ret.DJ <- mk.returns(DJ); 
window1.start <- timeDate("01/01/1993", format="%m/%d/%Y"); 
window1.end <-  timeDate("12/31/2000",format="%m/%d/%Y"); 
sample1 <- (seriesPositions(Ret.DJ) > window1.start 
      & seriesPositions(Ret.DJ) < window1.end); 
DJ30daily <- Ret.DJ[sample1,]; 
DJ30daily <- 100*seriesData(DJ30daily); 
rseries <- DJ30daily[,"MSFT"]; 
mod.NIG <- fit.NH(rseries);

[Package QRMlib version 1.4.4 Index]