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Download a pdf copy of this help file here |
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Download a pdf copy of this help file here |
See also: Time series in ModelRisk
VoseTimeGBMJDMR(Mu,Sigma,Alpha,Lambda,Muj,Sigmaj,LogReturn,LastValue)
Array
function that models a Geometric
Brownian Motion (GBM) with Jump Diffusion and Mean Reversion time
series model. GBM is usually the default starting point for a time series
of a non-negative financial variable - like a stock price, exchange rate
or interest rate. It assumes that the fractional changes in the variable
between periods are independent, random variables following a Normal
distribution.
Mu - the percentage drift.
Sigma - the percentage volatility.
Alpha - the mean reversion factor.
Lambda - the jump intensity.
Muj - the percentage drift of the jump.
Sigmaj - the percentage volatility of the jump.
LogReturn - Optional boolean parameter (TRUE/FALSE) specifying whether to return the actual time series (FALSE, default) or log returns (TRUE).
LastValue - last known historic value. The generated time series values will continue on from this value. Should only be provided if the LogReturn parameter is set to FALSE or omitted.
As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Time Series window.
VoseTimeGBMJDMR - generates an array of random values from this time series.
VoseTimeGBMJDMRFit - generates an array of random values from this time series fitted to data.
VoseTimeGBMJDMRFitP - returns the parameters of this time series fitted to data.