monitor-stability: Monitoring Stability

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Monitoring Stability

Description

Functions for time series aggregation, converting a time series from a daily to a monthly or weekly base.

Usage

stabilityAnalytics(index, method=c("turns", "drawdowns", "garch", 
    "riskmetrics", "bcp", "pcout"), ...)
    
turnsAnalytics(index, spar=0.5, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")
drawdownsAnalytics(index, spar=0.5, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")
garchAnalytics(index, spar = 0.5, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")    
riskmetricsAnalytics(index, spar=0.5, lambda=0.9, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")
bcpAnalytics(index, spar=0.5, FUN=returns, method=c("prob", "mean", "var"),
    main=NULL, trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")    
pcoutAnalytics(index, spar=0.5, main=NULL, trace=TRUE, doplot=TRUE, 
    at=pretty(index), format="%m/%y", strong=TRUE, k=2, cs=0.25, outbound=0.25)     
    
addRainbow(analytics, palette=rainbow, a=0.3, b=0.8, K=100)    

waveletSpectrum(index, spar=0.5, main=NULL, trace=TRUE, doplot=TRUE, 
  at=pretty(index), format="%m/%y")
  
parAnalytics()

Arguments

index	an object of class 'timeSeries'
method	name of selected analytics
analytics	analytics object
...	optional arguments
spar	0.5
main	""
trace	TRUE
doplot	TRUE
at	pretty()
format	"%m/%y"
lambda	riskmetricsAnalytics
bcp	bcpAnalytics
FUN,strong,k,cs,outbound	pcoutAnalytics
palette,a,b,K	addRainbow

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on April 25, 2023, 9:11 a.m.