stochvol (version 1.1.3)

volplot: Plotting Quantiles of the Latent Volatilities

Description

Displays quantiles of the posterior distribution of the volatilities over time as well as predictive distributions of future volatilities.

Usage

volplot(x, forecast = 0, dates = NULL, show0 = FALSE, col = NULL,
       	forecastlty = NULL, tcl = -0.4, mar = c(1.9, 1.9, 1.9, 0.5),
       	mgp = c(2, 0.6, 0), simobj = NULL, ...)

Arguments

x

svdraws object.

forecast

nonnegative integer or object of class svpredict, as returned by predict.svdraws. If an integer greater than 0 is provided, predict.svdraws

dates

vector of length ncol(x$latent), providing optional dates for labeling the x-axis. The default value is NULL; in this case, the axis will be labeled with numbers.

show0

logical value, indicating whether the initial volatility exp(h_0/2) should be displayed. The default value is FALSE.

col

vector of color values (see par) used for plotting the quantiles. The default value NULL results in gray lines for all quantiles expect the median, which is displayed in black.

forecastlty

vector of line type values (see par) used for plotting quantiles of predictive distributions. The default value NULL results in dashed lines.

tcl

The length of tick marks as a fraction of the height of a line of text. See par for details. The default value is -0.4, which results in slightly shorter tick marks than usual.

mar

numerical vector of length 4, indicating the plot margins. See par for details. The default value is c(1.9, 1.9, 1.9, 0.5), which is slightly smaller than the R-defaults.

mgp

numerical vector of length 3, indicating the axis and label positions. See par for details. The default value is c(2, 0.6, 0), which is slightly smaller than the R-defaults.

simobj

object of class svsim as returned by the SV simulation function svsim. If provided, ``true'' data generating values will be added to the plot(s).

...

further arguments are passed on to the invoked ts.plot function.

Value

• Called for its side effects. Returns argument x invisibly.

See Also

updatesummary, paratraceplot, paradensplot, plot.svdraws.

Examples

## Simulate a short and highly persistent SV process 
sim <- svsim(100, mu = -10, phi = 0.99, sigma = 0.2)

## Obtain 5000 draws from the sampler (that's not a lot)
draws <- svsample(sim$y, draws = 5000, burnin = 100,
		  priormu = c(-10, 1), priorphi = c(20, 1.5),
		  priorsigma = 0.2)

## Plot the latent volatilities and some forecasts
volplot(draws, forecast = 10)

## Re-plot with different quantiles
newquants <- c(0.01, 0.05, 0.25, 0.5, 0.75, 0.95, 0.99)
draws <- updatesummary(draws, quantiles=newquants)

volplot(draws, forecast = 10)