Log Density Plot
This program accepts a vector of stock market prices and calculates the
Log density plot. The produced graph also plots a normal curve with mean
and standard deviation from the provided data. The Log-pdf clearly
displays the fat-tail property of stock market returns. An application of
the log-pdf can be found in Andersen, Bollerslev and Dobrev (2006) "No
Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility
Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and
Testable Distributional Implications".
Cite As
VASILIS PAPPAS (2024). Log Density Plot (https://www.mathworks.com/matlabcentral/fileexchange/33434-log-density-plot), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox >
- MATLAB > Graphics > 2-D and 3-D Plots > Line Plots > Log Plots >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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Version | Published | Release Notes | |
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1.0.0.0 |