Description Usage Arguments Details Author(s) See Also Examples
Generic plot
method for object of class ffm
.
Plots chosen characteristic(s) for one or more assets.
1 2 3 4 5 6 | ## S3 method for class 'ffm'
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, ...)
|
x |
an object of class |
which |
a number to indicate the type of plot. If multiple plots are
required, specify a subset from 1:12 for group plots and 1:13 for individual
plots. If |
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 |
asset.name |
name of the individual asset to be plotted. Is necessary
if |
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 |
las |
one of 0, 1, 2, 3 to set the direction of axis labels, same as
in |
lwd |
set the line width, same as in |
maxlag |
optional number of lags to be calculated for ACF. Default is 15. |
... |
further arguments to be passed to other plotting functions. |
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 ffm
object x
contains only a single asset fit,
plot.ffm can infer asset.name
without user input.
Eric Zivot, Sangeetha Srinivasan and Yi-An Chen
fitFfm
, residuals.ffm
,
fitted.ffm
, fmCov.ffm
and
summary.ffm
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(3,4,12) - 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
,
I(18) - plot.zoo
,
G(1) - chart.Boxplot
,
G(2,5,9,10,11) - barchart
,
G(6) - chart.Correlation
and
G(7,8) - corrplot.mixed
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | # load data from the database
data(Stock.df)
fit.style.sector <- fitFfm(data=stock, asset.var="TICKER", ret.var="RETURN",
exposure.vars=c("GICS.SECTOR","LOG.MARKETCAP",
"BOOK2MARKET"), date.var="DATE")
# 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.style.sector)
# choose specific plot option(s) using which
# plot all factor exposures from the last time period for 1st 10 assets
plot(fit.style.sector, which=2, f.sub=1:12, a.sub=1:10)
# plot factor model residuals scatterplot matrix, with histograms, density
# overlays, correlations and significance stars
plot(fit.style.sector, 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.style.sector, plot.single=TRUE, asset.name="MSFT", which=12)
|
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