extractVolPerc.SVDNF {SVDNF} | R Documentation |
Extract Filtering and Prediction Distribution Percentiles
Description
Function to extract filtering and prediction distribution percentiles from SVDNF
and DNFOptim
objects.
Usage
## S3 method for class 'SVDNF'
extractVolPerc(x, p = 0.5, pred = F, ...)
Arguments
x |
An |
p |
Distribution percentile to return. |
pred |
Return the prediction distribution percentile if |
... |
Other parameters to be passed through to function. |
Value
Return a vector of the p
th percentile filtering or prediction distribution volatility factor values depending on whether pred = TRUE
or not.
Examples
set.seed(1)
# Define the built-in model using the dynamicsSVM function
Heston_mod <- dynamicsSVM(model = "Heston")
# Generate the data from the Duffie, Pan, and Singleton model
Heston_sim <- modelSim(t = 10, dynamics = Heston_mod)
Heston_dnf <- DNF(dynamics = Heston_mod, data = Heston_sim$returns)
extractVolPerc(Heston_dnf, p = 0.75)
[Package SVDNF version 0.1.11 Index]