baq_niplot: Plot News Impact on Conditional Variance
In sebinum/baqgarchutil: Analyse a Fitted baqGARCH Model

Description Usage Arguments Value Details References See Also Examples

Plot the News Impact on the conditional variance / correlation of a baq_nif class object.

1	baq_niplot(x, ni_plots = c("var1", "var2", "cor"), plotdir = "horizontal")

`x`	A baq_nif class object.
`ni_plots`	A character vector specifying which conditional correlation / variance to plot. Can contain any combination of "var1", "var2" and "cor". Defaults to c("var1", "var2", "cor").
`plotdir`	A character vector of length one to determine if the plots should be created in a row ("horizontal") or a column ("vertical"). Defaults to "horizontal". Currently the output doesn't look very nice, since `par()` is not set up for vertical yet.

A plot of the news impact on the conditional variance / correlation.

For more details on the baqGARCH model and the application of a news impact function as proposed by Schmidbauer & Roesch (2008, 2014) check the details section of baq_nifunction and further see the references.

Schmidbauer, H. & Roesch, A. (2008). Volatility Spillovers Between Crude Oil Prices. International Conference on Policy Modeling. EcoMod, Berlin.

Schmidbauer, H. & Roesch, A. (2014). Volatility Spillovers Between Crude Oil Prices and Us Dollar To Euro Exchange Rates. 4th IAEE Asian Conference, Beijing.

Nychka, D. & Furrer, R. & Paige, J. & Sain, S. (2017). “fields: Tools for spatial data.” doi: 10.5065/D6W957CT (URL:http://doi.org/10.5065/D6W957CT), R package version 9.6.

baq_nifunction for fitting a baq_nif-class object

# create data
eps <- mgarchBEKK::simulateBEKK(2, 100)

# fit the model
gjr <- mgarchBEKK::mGJR(eps$eps[[1]], eps$eps[[2]])

# apply the news impact function to the model
nif <- baq_nifunction(gjr)

# plot the results
baq_niplot(nif)

# plot only the the first series
baq_niplot(nif, ni_plots = "var1")

## Not run: 

# save plot as pdf
pdf("baqplot_example.pdf", width = 15, height = 7.2)
baq_niplot(nif)
dev.off()

## End(Not run)