StockDistFit: Fit Stock Price Distributions
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 [aut, cre], Stanely Sayianka [ctb] |
| Maintainer: | Brian Njuguna <briannjuguna133 at gmail.com> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | StockDistFit results |
Documentation:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=StockDistFitto link to this page.