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st: Browian Motion


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.
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