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+?*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