Fit Stock Price Distributions
Compute Annual Returns of a Vector.
Load Asset Data.
Find the best distribution based on AIC values
Fit Cauchy Distribution to a vector of returns/stock prices.
Compute Cumulative Returns of a Vector.
Fits Multiple Probability Distributions to several assets/stock prices...
Fit Generalized Error Distribution to a vector of returns/stock prices...
Fit Generalized Hyperbolic Distribution to a vector of returns/stock p...
Fit Hyperbolic distribution to return/stock prices.
Compute Monthly Returns of a Vector.
Fit Normal Inverse Gaussian (NIG) Distribution to a vector of returns/...
Fit Normal Distribution to a Vector/stock prices.
Fit Skewed Generalized Error Distribution to a vector of returns/stock...
Fit Skew Normal Distribution to a vector of returns/stock prices.
Fit Skewed Student-t Distribution to a vector of returns/stock prices.
Fit Symmetric Generalized Hyperbolic Distribution to returns/stock pri...
Fit a Symmetric Hyperbolic Distribution to a vector of return/stock pr...
Fit Symmetric Variance Gamma Distribution to a vector of returns/stock...
Fit Student's t Distribution to a vector of returns/stock prices.
Fit Variance Gamma Distribution to a vector of return/stock prices.
Compute Weekly Returns of a Vector.
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>.