% the numbers here are very small as time is measured in days!!! 

sigma=0:0.0001:0.025;
res=zeros(size(sigma)); 

for i=1:length(sigma)
    res(i)=gm(0,sigma(i));
end

hold on   % if you want to display different plots on same axes 
plot(sigma,res,'b')

for i=1:length(sigma)
    res(i)=gm(0.0005,sigma(i));
end

hold on   % if you want to display different plots on same axes 
plot(sigma,res,'r')