stochvol (version 1.1.3)

plot.svdraws: Graphical Summary of the Posterior Distribution

Description

plot.svdraws generates some plots visualizing the posterior distribution and can also be used to display predictive distributions of future volatilities.

Usage

## S3 method for class 'svdraws':
plot(x, forecast = NULL, dates = NULL, show0 = FALSE, showobs = TRUE,
     showprior = TRUE, col = NULL, forecastlty = NULL, tcl = -0.4,
     mar = c(1.9, 1.9, 1.7, 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 labelling the x-axis. The default value is NULL; in this case, the axis will be labelled with numbers.

show0

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

showobs

logical value, indicating whether the observations should be displayed along the x-axis. If many draws have been obtained, the default (TRUE) can render the plotting to be quite slow, and you might want to try setting showobs to

showprior

logical value, indicating whether the prior distribution should be displayed. The default value is TRUE.

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, the ``true'' data generating values will be added to the plots.

...

further arguments are passed on to the invoked plotting functions.

Value

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

Details

This function sets up the page layout and calls volplot, paratraceplot and paradensplot.

See Also

updatesummary, volplot, paratraceplot, paradensplot.

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 = 1000,
  priormu = c(-10, 1), priorphi = c(20, 1.5), priorsigma = 0.2)

## Plot the latent volatilities and some forecasts
plot(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)

plot(draws, forecast = 20, showobs = FALSE, col = seq(along = newquants),
     forecastlty = 3, showprior = FALSE)