plot.MDSVroll: Plot MDSV Rolling estimates, volatility forecast and...

In Abdoulhaki/MDSV: Multifractal Discrete Stochastic Volatility

Plot MDSV Rolling estimates, volatility forecast and backtesting

Description

Plot methods for the class MDSVroll as returned by the function MDSVroll.

Usage

## S3 method for class 'MDSVroll'
plot(x, plot.type = c("sigma", "VaR", "dens"), ...)

## S3 method for class 'plot.MDSVroll'
print(x, ...)

Arguments

x	An object of class plot.MDSVroll, output of the function plot.MDSVroll or class MDSVroll of the function MDSVroll.
plot.type	The type of plot to be draw.
...	Further arguments passed to or from other methods.

Value

One or more of the following plots :

• sigma : Graph of the square of log-returns and/or realized variances with its 1-ahead forecasts.

• VaR : Graph showing the log-returns and the forecast conditional VaR at 1-ahead.

• dens : Graph of predicative density of log-retunrs or realized variances at 1-ahead.

See Also

For fitting MDSVfit, filtering MDSVfilter, bootstrap forecasting MDSVboot and rolling estimation and forecast MDSVroll.

Abdoulhaki/MDSV documentation built on July 6, 2024, 4:03 p.m.