plot.tsfm: Plots from a fitted time series factor model

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Plots from a fitted time series factor model

Description

Generic plot method for object of class tsfm. Plots chosen characteristic(s) for one or more assets.

Usage

## S3 method for class 'tsfm'
plot(
  x,
  which = NULL,
  f.sub = 1:2,
  a.sub = 1:6,
  plot.single = FALSE,
  asset.name,
  colorset = c("royalblue", "dimgray", "olivedrab", "firebrick", "goldenrod",
    "mediumorchid", "deepskyblue", "chocolate", "darkslategray"),
  legend.loc = "topleft",
  las = 1,
  lwd = 2,
  maxlag = 15,
  ...
)

Arguments

x	an object of class tsfm produced by fitTsfm.
which	a number to indicate the type of plot. If a subset of the plots is required, specify a subset of the numbers 1:12 for group plots and 1:19 for individual plots. If which=NULL (default), the following menu appears: For plots of a group of assets: 1 = Factor model coefficients: Alpha, 2 = Factor model coefficients: Betas, 3 = Actual and fitted, 4 = R-squared, 5 = Residual volatility, 6 = Scatterplot matrix of residuals, with histograms, density overlays, correlations and significance stars, 7 = Factor model residual correlation 8 = Factor model return correlation, 9 = Factor contribution to SD, 10 = Factor contribution to ES, 11 = Factor contribution to VaR, 12 = Asset returns vs factor returns (single factor model) For individual asset plots: 1 = Actual and fitted, 2 = Actual vs fitted, 3 = Residuals vs fitted, 4 = Sqrt. of modified residuals vs fitted, 5 = Residuals with standard error bands, 6 = Time series of squared residuals, 7 = Time series of absolute residuals, 8 = SACF and PACF of residuals, 9 = SACF and PACF of squared residuals, 10 = SACF and PACF of absolute residuals, 11 = Non-parametric density of residuals with normal overlaid, 12 = Non-parametric density of residuals with skew-t overlaid, 13 = Histogram of residuals with non-parametric density and normal overlaid, 14 = QQ-plot of residuals, 15 = CUSUM test-Recursive residuals, requires strucchange package, 16 = CUSUM test-LS residuals, requires strucchange package, 17 = Recursive estimates (RE) test of LS regression coefficients, requires strucchange package, 18 = Rolling regression over a 24-period observation window, 19 = Asset returns vs factor returns (single factor model)
f.sub	numeric/character vector; subset of indexes/names of factors to include for group plots. Default is 1:2.
a.sub	numeric/character vector; subset of indexes/names of assets to include for group plots. At least 2 assets must be selected. Default is 1:6.
plot.single	logical; If TRUE plots the characteristics of an individual asset's factor model. The type of plot is given by which. Default is FALSE.
asset.name	name of the individual asset to be plotted. Is necessary if x contains multiple asset fits and plot.single=TRUE.
colorset	color palette to use for all the plots. The 1st element will be used for individual time series plots or the 1st object plotted, the 2nd element for the 2nd object in the plot and so on.
legend.loc	places a legend into one of nine locations on the chart: "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right", or "center". Default is "bottomright". Use legend.loc=NULL to suppress the legend.
las	one of 0, 1, 2, 3 to set the direction of axis labels, same as in plot. Default is 1.
lwd	set the line width, same as in plot. Default is 2.
maxlag	optional number of lags to be calculated for ACF. Default is 15.
...	further arguments to be passed to other plotting functions.

Details

The function can be used for group plots and individual plots. User can select the type of plot either from the menu prompt (default) or directly via argument which.

In case multiple plots are needed, the menu is repeated after each plot (enter 0 to exit). User can also input a numeric vector of plot options via which.

Group plots are the default. The selected assets in a.sub and selected factors in f.sub are plotted depending on the characteristic chosen. The default is to show the first 2 factors and first 6 assets.

Setting plot.single=TRUE enables individual plots. If there is more than one asset fit by x, asset.name should be specified. In case the tsfm object x contains only a single asset fit, plot.tsfm can infer asset.name without user input.

CUSUM plots (individual asset plot options 15, 16 and 17) are applicable only for fit.method="LS".

Modified residuals, rolling regression and single factor model plots (individual asset plot options 4, 18 and 19) are not applicable for variable.selection="lars".

The last option for plotting asset returns vs. factor returns (individual asset plot option 19 and group plot 12) are only applicable for single factor models.

Author(s)

Eric Zivot, Sangeetha Srinivasan and Yi-An Chen

See Also

fitTsfm, residuals.tsfm, fitted.tsfm, fmCov.tsfm and summary.tsfm for time series factor model fitting and related S3 methods. Refer to fmSdDecomp, fmEsDecomp, fmVaRDecomp for factor model risk measures.

Here is a list of plotting functions used. (I=individual, G=Group) I(1,5,6,7), G(3) - chart.TimeSeries, I(2,3,4,19), G(12) - plot.default, I(3,4) - panel.smooth, I(8,9,10) - chart.ACFplus, I(11,12) - plot.density, I(13) - chart.Histogram, I(14) - chart.QQPlot, I(15,16,17) - plot.efp (requires strucchange package), I(18) - plot.zoo, G(1,2,4,5,9,10,11) - barchart, G(6) - chart.Correlation and G(7,8) - corrplot.mixed (requires corrplot package).

Examples

 # load data
data(managers, package = 'PerformanceAnalytics')

fit.macro <- fitTsfm(asset.names = colnames(managers[,(1:6)]),
                     factor.names = colnames(managers[,(7:9)]),
                     rf.name = "US 3m TR",
                     data = managers)

# for group plots (default), user can select plot option from menu prompt
# menu is repeated to get multiple types of plots based on the same fit
# plot(fit.macro)

# choose specific plot option(s) using which
# plot the first 2 factor betas of first 4 assets fitted above
plot(fit.macro, f.sub=1:2, a.sub=1:4, which=2)

# plot factor model residuals scatterplot matrix, with histograms, density
# overlays, correlations and significance stars
plot(fit.macro, which=6)

# for individual plots: set plot.single=TRUE and specify asset.name
# histogram of residuals from an individual asset's factor model fit
plot(fit.macro, plot.single=TRUE, asset.name="HAM1", which=13)

# for individual plots, the "which" argument specifies plot type.
# Plots 15:17 require the suggested "strucchange" package.
# 17 plots the Recursive estimates (RE) test of LS regression coefficients.
require(strucchange)
plot(fit.macro, plot.single=TRUE, asset.name="HAM1", which=17)

braverock/factorAnalytics documentation built on Dec. 16, 2024, 1:05 p.m.