plot.stochvolTMB

Displays the estimated latent volatility process over time.

Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is
integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model
Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>).

Jens Wahl

stochvolTMB

Likelihood Estimation of Stochastic Volatility Models

plot.stochvolTMB function

<dl><dt>x</dt>
<dd>A <code>stochvolTMB</code> object returned from estimate_parameters.</dd>
<dt>...</dt>
<dd>Currently not used.</dd>
<dt>include_ci</dt>
<dd>Logical value indicating if volatility should be plotted
with approximately 95% confidence interval.</dd>
<dt>plot_log</dt>
<dd>Logical value indicating if the estimated should be plotted
on log or original scale. If <code>plot_log = TRUE</code> the process h is
plotted. If <code>plot_log = FALSE</code> 100 <code>sigma_y</code> exp(<code>h</code> / 2) is
plotted.</dd>
<dt>dates</dt>
<dd>Vector of length ncol(x$nobs), providing optional dates for
labeling the x-axis. The default value is NULL; in this case, the axis will
be labeled with numbers.</dd>
<dt>forecast</dt>
<dd>Integer specifying number of steps to forecast.</dd></dl>

Arguments

Plot the estimated latent volatility process — plot.stochvolTMB

<dl>

<dt>x</dt>
<dd>A <code>stochvolTMB</code> object returned from estimate_parameters.</dd>


<dt>...</dt>
<dd>Currently not used.</dd>


<dt>include_ci</dt>
<dd>Logical value indicating if volatility should be plotted
with approximately 95% confidence interval.</dd>


<dt>plot_log</dt>
<dd>Logical value indicating if the estimated should be plotted
on log or original scale. If <code>plot_log = TRUE</code> the process h is
plotted. If <code>plot_log = FALSE</code> 100 <code>sigma_y</code> exp(<code>h</code> / 2) is
plotted.</dd>


<dt>dates</dt>
<dd>Vector of length ncol(x$nobs), providing optional dates for
labeling the x-axis. The default value is NULL; in this case, the axis will
be labeled with numbers.</dd>


<dt>forecast</dt>
<dd>Integer specifying number of steps to forecast.</dd>

</dl>

plot.stochvolTMB: Plot the estimated latent volatility process

Description

Usage

Value

Arguments