highfrequency (version 1.0.1)

plot.DBH: Plotting method for DBH objects

Description

Plotting method for DBH objects

Usage

# S3 method for DBH
plot(x, ...)

Arguments

x

an object of class DBH

...

optional arguments, see details

Author

Emil Sjoerup

Details

The plotting method has the following optional parameters:

• pData A data.table or an xts object, containing the prices and timestamps of the data used to calculate the test statistic. If specified, and which = "tStat", the price will be shown on the right y-axis along with the test statistic

• which A string denoting which of four plots to make. "tStat" denotes plotting the test statistic. "sigma" denotes plotting the estimated volatility process. "mu" denotes plotting the estimated drift process. If which = c("sigma", "mu") or which = c("mu", "sigma"), both the drift and volatility processes are plotted. CaPiTAlizAtIOn doesn't matter

Examples

data.table::setDTthreads(2)
# Testing every 60 seconds after 09:15:00
DBH <- driftBursts(sampleTDataEurope, testTimes = seq(32400 + 900, 63000, 60), preAverage = 2, 
                    ACLag = -1L, meanBandwidth = 300L, varianceBandwidth = 900L)
plot(DBH)
plot(DBH, pData = sampleTDataEurope)
plot(DBH, which = "sigma")
plot(DBH, which = "mu")
plot(DBH, which = c("sigma", "mu"))