acf_highmoments: Plot the higher moment auto-correlations and their...

In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).

Description

This function is useful to explore the correlation of returns within a time series. A price series is given, and returns are calculated for the specified periods. Higher moments of returns are also calculated up to the quintic returns (power of 5). Autocorrelations and cross-correlations are then computed and plotted.

Usage

acf_highmoments(prices, on = c("days", "weeks", "months"),
  moments = c(1, 2, 3, 4, 5))

Arguments

prices	An xts of prices for the asset under analysis. Only the first column is used.
on	A character vector specifying the return granularity to calculate. Valid granularities include any or all of: "days", "weeks" and "months".
moments	Specifies which moments of returns to calculate. The autocorrelations and cross-correlations will be performed for all permutations.

Value

No value is explicitly returned, but several plots are generated using the acf function from the stats package.

jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.