extremogram (version 1.0.2)

extremogramr: Sample return time extremogram

Description

The function estimates the sample return time extremogram and creates an extremogram plot.

Usage

extremogramr(x, type, maxlag, uplevel = 1, lowlevel = 0, histogram = 1, cutoff = 1)

Arguments

x

Univariate time series (a vector).

type

Extremogram type. If type = 1, the upper tail extremogram is estimated. If type = 2, the lower tail extremogram is estimated. If type = 3, both upper and lower tail extremogram is estimated.

maxlag

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

uplevel

Quantile of the time series to indicate a upper tail extreme event (a number between 0 and 1, default is 1).

lowlevel

Quantile of the time series to indicate a lower tail extreme event (a number between 0 and 1, default is 0).

histogram

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

cutoff

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

Value

Extremogram values, return time for extreme events, mean return time 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
uplevel  = 0.95
lowlevel = 0.05
type     = 3
maxlag   = 70
df       = 3
G = extremogram:::garchsim(omega,alpha,beta,n,df)

extremogramr(G, type, maxlag, uplevel, lowlevel, 1, 1)