Description Usage Arguments Value References Examples
The function estimates the sample return time extremogram and creates an extremogram plot.
1 2 | extremogramr(x, type, maxlag, uplevel = 1, lowlevel = 0, histogram = 1,
cutoff = 1)
|
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). |
Extremogram values, return time for extreme events, mean return time and a plot (if requested).
Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.
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.
1 2 3 4 5 6 7 8 9 10 11 12 13 | # 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)
|
[[1]]
[1] 0.25252525 0.11111111 0.08080808 0.05050505 0.07070707 0.01010101
[7] 0.02020202 0.01010101 0.06060606 0.03030303 0.04040404 0.01010101
[13] 0.03030303 0.03030303 0.02020202 0.01010101 0.01010101 0.02020202
[19] 0.01010101 0.01010101 0.01010101 0.01010101 0.01010101 0.01010101
[25] 0.01010101 0.02020202 0.01010101 0.01010101 0.01010101 0.01010101
[31] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
[37] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
[43] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
[49] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
[55] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
[61] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
[67] 0.00000000 0.00000000 0.00000000 0.00000000
[[2]]
[1] 5 1 3 17 2 3 1 9 34 13 1 8 1 30 1 3 1 43 10 4 5 1 4 3 1
[26] 5 2 14 4 1 1 4 11 3 10 1 11 2 1 75 3 5 2 23 41 14 13 41 11 1
[51] 1 1 1 2 7 1 22 42 6 1 1 2 1 1 2 9 1 35 3 2 5 14 10 1 4
[76] 2 13 15 26 9 2 15 1 5 11 9 53 22 24 12 2 3 18 25 7 9 5 9 1
[[3]]
[1] 9.858586
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