VoseTimeDividendsA | Vose Software

VoseTimeDividendsA

See also: Time series in ModelRisk

VoseTimeDividendsA({Price inflation}, QMU, QSD, QA, YSD, DMU, DSD, DB, DW, DX, DD, DY)

 

 

 

Array function that models Wilkie's Dividents time series model, based on an existing price inflation array.

  • {Price inflation} - array with price inflation data.

  • QMU - Mean force of inflation.

  • QSD - standard deviatioin of force inflation.

  • QA - autoregression coefficient.

  • YSD - Standard deviation of residual.

  • DMU - Mean force of real dividend growth.

  • DSD - Standard deviation of residual.

  • DB - autoregression coefficient.

  • DW - Past inflation factor.

  • DX - Current inflation factor (normally set to 1-DW).

  • DD - Inflation autoregression coefficient.

  • DY - Yield factor.

As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Wilkie Models window.

 

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