snarch: S-NARCH Model

In sisireg: Sign-Simplicity-Regression-Solver

S-NARCH Model

Description

Calculates the long-, middle- and short-term trends and vola for a financial time series.

Usage

snarch(dat)

Arguments

dat	financial time series.

Value

data frame

tr20	long-term trend
vl20	long-term vola
tr10	middle-term trend
vl10	middle-term vola
tr5	short-term trend
vl5	short-term vola

Author(s)

Dr. Lars Metzner

References

Dr. Lars Metzner (2019) Finanzmathematische Zeitreihenanalyse. Independently Published.

Examples

# generate test data
set.seed(1234)
x <- seq(1:250)
dat <- 13000 + cumsum(rnorm(250))
# calculate the S-NARCH model
df <- snarch(dat)
# plot the results
op <- par(mfrow=c(1,3))
plot(x,dat)
lines(x,df$tr20)
lines(x,df$tr20 - df$vl20, lty = 'dotted')
lines(x,df$tr20 + df$vl20, lty = 'dotted')
plot(x,dat)
lines(x,df$tr10)
lines(x,df$tr10 - df$vl10, lty = 'dotted')
lines(x,df$tr10 + df$vl10, lty = 'dotted')
plot(x,dat)
lines(x,df$tr5)
lines(x,df$tr5 - df$vl5, lty = 'dotted')
lines(x,df$tr5 + df$vl5, lty = 'dotted')
par(op)

sisireg documentation built on Aug. 8, 2025, 7:03 p.m.