eventstudies (version 1.1)

eesPlot: Plotting clustered and unclustered extreme event study plot.

Description

This function generates an extreme event study plot by marking extreme events and fusing clustered events together. It plots event study plot for lower tail and upper tail events. Tail events are defined as per given probability value. The value of the event series and response series should be in returns.

Usage

eesPlot(z, response.series.name, event.series.name, titlestring, ylab, width, prob.value)

Arguments

z

Data object with both response and event series on which event study is to be performed

response.series.name

Column name of the series in 'z' on which response is to be observed

event.series.name

Column name of the series in 'z' on which event is to be observed

titlestring

Title for event study plot: Preferred to be response series name

ylab

Y-axis label

width

Width for event study plot

prob.value

It is the tail value on the basis of which the extreme event are defined. For eg: prob.value of 5 will consider 5% tail on both sides.

Value

It gives an extreme event study plot for very bad (lower tail) and very good (upper tail) events on event series.

Examples

library(eventstudies)
data(eesData)
eesPlot(z=eesData, response.series.name="nifty", event.series.name="sp500",titlestring="S&P500", ylab="(Cum.) change in NIFTY")