extremogram (version 1.0.2)

extremogram1: Sample univariate extremogram

Description

The function estimates the sample univariate extremogram and creates an extremogram plot.

Usage

extremogram1(x, quant, maxlag, type, ploting = 1, cutoff = 1, start = 0)

Arguments

x

Univariate time series (a vector).

quant

Quantile of the time series to indicate an extreme event (a number between 0 and 1).

maxlag

Number of lags to include in the extremogram (an integer).

type

Extremogram type. If type = 1, the upper tail extremogram is estimated. If type = 2, the lower tail extremogram is estimated.

ploting

An extremogram plot. If ploting = 1, a plot is created (default). If ploting = 0, no plot is created.

cutoff

The cutoff of the y-axis on the plot (a number between 0 and 1, default is 1).

start

The lag that the extremogram plots starts at (an integer not greater than maxlag, default is 0).

Value

Extremogram values and a plot (if requested).

References

1. Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.
2. Davis, R. A., Mikosch, T., & Cribben, I. (2011). Estimating extremal dependence in univariate and multivariate time series via the extremogram.arXiv preprint arXiv:1107.5592.

Examples

# generate a GARCH(1,1) process
omega  = 1
alpha  = 0.1
beta   = 0.6
n      = 1000
quant  = 0.95
type   = 1
maxlag = 70
df     = 3
G = extremogram:::garchsim(omega,alpha,beta,n,df)

extremogram1(G, quant, maxlag, type, 1, 1, 0)