plot_returns: Plot returns with bands from the fitted model

In stochvolTMB: Likelihood Estimation of Stochastic Volatility Models

Plot returns with bands from the fitted model

Description

Plots the observed returns together with the central level interval of the fitted conditional distribution of each return, given the estimated log-volatility h_t. The interval uses the error distribution of the model, so it is asymmetric for the skew gaussian models and wider for the t model. Returns outside the interval are marked in red.

Usage

plot_returns(x, level = 0.95, dates = NULL)

Arguments

x	A stochvolTMB object returned from estimate_parameters.
level	Probability covered by the interval.
dates	Vector of length 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.

Details

The subtitle shows the share of returns outside the interval. For a good model it is close to 1 - level. The bands use the smoothed estimate of h_t, which also uses y_t. The share is therefore an optimistic, in-sample check. Use plot_diagnostics for a check based on one-step-ahead residuals.

Value

ggplot object.

Examples

data(spy)
opt <- estimate_parameters(spy$log_return, model = "skew_gaussian_leverage", silent = TRUE)
plot_returns(opt, dates = spy$date)

stochvolTMB documentation built on Nov. 7, 2026, 5:08 p.m.