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The 'StockDistFit' package provides functions for fitting probability distributions to stock price data. The package uses maximum likelihood estimation to find the best-fitting distribution for a given stock. It also offers a function to fit several distributions to one or more assets and compare the distribution with the Akaike Information Criterion (AIC) and then pick the best distribution. References are as follows: Siew et al. (2008) <https://www.jstage.jst.go.jp/article/jappstat/37/1/37_1_1/_pdf/-char/ja> and Benth et al. (2008) <https://books.google.co.ke/books?hl=en&lr=&id=MHNpDQAAQBAJ&oi=fnd&pg=PR7&dq=Stochastic+modeling+of+commodity+prices+using+the+Variance+Gamma+(VG)+model.+&ots=YNIL2QmEYg&sig=XZtGU0lp4oqXHVyPZ-O8x5i7N3w&redir_esc=y#v=onepage&q&f=false>.
Version: | 1.0.0 |
Depends: | R (≥ 2.10) |
Imports: | dplyr, fGarch, fBasics, fitdistrplus, xts, stats, magrittr, zoo, quantmod, utils, ghyp |
Suggests: | knitr, rmarkdown |
Published: | 2023-05-09 |
DOI: | 10.32614/CRAN.package.StockDistFit |
Author: | Brian Njuguna |
Maintainer: | Brian Njuguna <briannjuguna133 at gmail.com> |
License: | GPL (≥ 3) |
NeedsCompilation: | no |
Materials: | README |
CRAN checks: | StockDistFit results |
Reference manual: | StockDistFit.pdf |
Vignettes: |
moreDetails |
Package source: | StockDistFit_1.0.0.tar.gz |
Windows binaries: | r-devel: StockDistFit_1.0.0.zip, r-release: StockDistFit_1.0.0.zip, r-oldrel: StockDistFit_1.0.0.zip |
macOS binaries: | r-release (arm64): StockDistFit_1.0.0.tgz, r-oldrel (arm64): StockDistFit_1.0.0.tgz, r-release (x86_64): StockDistFit_1.0.0.tgz, r-oldrel (x86_64): StockDistFit_1.0.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=StockDistFit to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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