stochvol (version 2.0.4)

plot.svpredict: Graphical Summary of the Posterior Predictive Distribution

Description

plot.svpredict and plot.svlpredict generate some plots visualizing the posterior predictive distribution of future volatilites and future observations.

Usage

# S3 method for svpredict
plot(x, quantiles = c(0.05, 0.25, 0.5, 0.75, 0.95),
  ...)
# S3 method for svlpredict
plot(x, quantiles = c(0.05, 0.25, 0.5, 0.75, 0.95),
  ...)

Arguments

x

svpredict or svlpredict object.

quantiles

Which quantiles to plot? Defaults to c(.05, .25, .5, .75, .95).

…

further arguments are passed on to the invoked ts.plot or boxplot function.

Value

Called for its side effects. Returns argument x invisibly.

See Also

Other plotting: paradensplot, paratraceplot.svdraws, paratraceplot, plot.svdraws, volplot

Examples

# NOT RUN {
## Simulate a short and highly persistent SV process 
sim <- svsim(100, mu = -10, phi = 0.99, sigma = 0.1)

## Obtain 5000 draws from the sampler (that's not a lot)
draws <- svsample(sim$y, draws = 5000, burnin = 1000)

## Predict 10 steps ahead
pred <- predict(draws, 10)

## Visualize the predicted distributions
plot(pred)

## Plot the latent volatilities and some forecasts
plot(draws, forecast = pred)

# }