On Oct 7, 2010, at 12:01 PM, Christian Goelz wrote:
Dear Sirs,
I was hoping you can help me, I am quite desperate in finding a
solution for my problem! I have looked everywhere on the net and tried
hundreds of codes, but I am still not anywhere close to the solution.
I am quite new to R, so please excuse if this seems simple:
I am trying to use R to analyse some stocks, but I can't get the
theoretical confidence interval (95%) for my sample:
e.g. IBM:
library('tseries')
data<-get.hist.quote(instrument="IBM", start="2000-01-01",
end="2010-10-04", quote=c("O","H","L","C","A","V"),
compression='d',provider="yahoo", retclass="zoo")
names(IBM)
Problem 1: You name your data "data" and now you are referring to it
by "IBM"
I have defined the parameters as follows:
Pt=IBM$Adj.Close
Problem 2... there is no column named Adj.Close
r=diff(log(Pt))
l=length(Pt)
mu=mean(r)
t=2:l
Given the formula for confidence intervals E(logPt)=logP0+μ*t
+1.96*sqrt(t)*s^2, I tried to define a formula in R:
logP1=numeric()
logP1[1]=log(Pt[1])
logP1[2:l]=logP1[1]+cumsum(logP1+mu*t+c(-1.96,1.96)*sqrt(t)*sd(Pt))
Is it really true that s^2 is well estimated by that cusum?
P1=exp(logP1)
I ask that because P1 (after correction of the errors noted above)
"blows up" , i.e. increases to "Inf".
However, although I don't receive an error message, I cannot show the
result!
Did you type:
P1 # ??? and then watch the stream of 2075 mostly Inf values?
Really? I got all sorts of cascading errors.
--
David.
Many thanks in advance for your assistance with this!
Yours sincerely
Christian
--
David Winsemius, MD
West Hartford, CT
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