MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process

Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: MRJD_PRED returns a one-step ahead point forecast of the MRJD model: dX = (alpha - beta*X)*dt + sigma*dB + N(mu,gamma)*dN(lambda). [M,I] = MRJD_PRED(...,L) additionally returns the double-sided prediction intervals I for a set of confidence levels L. MRJD_PRED(...,L,NTRAJ) returns values based on Monte Carlo simulations with NTRAJ trajectories (instead of using analytic results).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2)
Keywords: Mean-Reverting Jump-Diffusion; One-step ahead prediction; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2010-10-19
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