inst/BookEx/C6R5.R

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

library(FRAPO)
library(fBasics)
## Loading of data
data(INDTRACK3)
P <- INDTRACK3[, -1]
R <- returnseries(P, method = "discret", trim = TRUE)
## Fitting and calculating beta and lambda
Fit <- apply(R, 2, gldFit, method = "rob", doplot = FALSE,
             trace = FALSE)
DeltaBetaParam <- matrix(unlist(lapply(Fit, function(x){
  l <- x@fit$estimate[c(3, 4)]
  res <- c(l[2] - l[1], l[1] + l[2])
  res})), ncol = 2, byrow = TRUE)
## Shape triangle
plot(DeltaBetaParam, xlim = c(-2, 2), ylim = c(-2, 0),
     xlab = expression(delta == lambda[4] - lambda[3]),
     ylab = expression(beta == lambda[3] + lambda[4]),
     pch = 19, cex = 0.5)
segments(x0 = -2, y0 = -2, x1 = 0, y1 = 0,
         col = "grey", lwd = 0.8, lty = 2)
segments(x0 = 2, y0 = -2, x1 = 0, y1 = 0,
         col = "grey", lwd = 0.8, lty = 2)
segments(x0 = 0, y0 = -2, x1 = 0, y1 = 0, col = "blue",
         lwd = 0.8, lty = 2)
segments(x0 = -0.5, y0 = -0.5, x1 = 0.5, y1 = -0.5,
         col = "red", lwd = 0.8, lty = 2)
segments(x0 = -1.0, y0 = -1.0, x1 = 1.0, y1 = -1.0,
         col = "red", lwd = 0.8, lty = 2)