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| From | Jason Rosenberg <RSNJAS002@myuct.ac.za> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: Browian Motion |
| Date | Mon, 10 Sep 2012 11:49:45 +0000 |
Hi all A am currently doing my thesis on the nature of stock returns in South Africa I am attempting to program a Geometric Browian Motion fit into stata. I have my first passage times in histogram form and would like to apply a Geometric Browian Motion fit to my data If you care to look the distribution I am attempting to program as well as the study I am replecating then google 'Optimal Investment Horizons' Simonsen et al Perhaps a program to determine the parameters and then one to generate the curve? Ideally I would like to be able to fit the curve and obtain the maximum using 'ml' function. If this is possible help would be geatly appreciated and I would of course mention your help in my thesis which has a good chance of being published as it is the first analyse of its type for the South African market. ### UNIVERSITY OF CAPE TOWN This e-mail is subject to the UCT ICT policies and e-mail disclaimer published on our website at http://www.uct.ac.za/about/policies/emaildisclaimer/ or obtainable from +27 21 650 9111. This e-mail is intended only for the person(s) to whom it is addressed. If the e-mail has reached you in error, please notify the author. If you are not the intended recipient of the e-mail you may not use, disclose, copy, redirect or print the content. If this e-mail is not related to the business of UCT it is sent by the sender in the sender's individual capacity. ### * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/