Timeline for How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
Current License: CC BY-SA 3.0
4 events
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| Jul 24, 2017 at 21:59 | comment | added | Patty | I know this is old, but doesn't Juan mean to divide each $\epsilon$ by $dt$, not times? Since each error is $N(0,\sigma^2 dt)$ we should be correcting for this by division, surely? | |
| Apr 1, 2015 at 15:36 | comment | added | Juan Ignacio Gil | After reading Richard's answer I've done a small edition in mine: each $\epsilon$ has to be multiplied by its $dt$ (especially if not all the $dt$ in your data are equal) to get the right volatility (the result would be in the units you are measuring $dt$) | |
| Apr 1, 2015 at 15:32 | history | edited | Juan Ignacio Gil | CC BY-SA 3.0 | added 3 characters in body |
| Apr 1, 2015 at 11:07 | history | answered | Juan Ignacio Gil | CC BY-SA 3.0 |