extremogramr {extremogram} | R Documentation |
Sample return time extremogram
Description
The function estimates the sample return time extremogram and creates an extremogram plot.
Usage
extremogramr(x, type, maxlag, uplevel = 1, lowlevel = 0, histogram = 1,
cutoff = 1)
Arguments
x |
Univariate time series (a vector). |
type |
Extremogram type. If type = 1, the upper tail extremogram is estimated. If type = 2, the lower tail extremogram is estimated. If type = 3, both upper and lower tail extremogram is estimated. |
maxlag |
Number of lags to include in the extremogram (an integer). |
uplevel |
Quantile of the time series to indicate a upper tail extreme event (a number between 0 and 1, default is 1). |
lowlevel |
Quantile of the time series to indicate a lower tail extreme event (a number between 0 and 1, default is 0). |
histogram |
An extremogram plot. If histogram = 1, a plot is created (default). If histogram = 0, no plot is created. |
cutoff |
The cutoff of the y-axis on the plot (a number between 0 and 1, default is 1). |
Value
Extremogram values, return time for extreme events, mean return time and a plot (if requested).
References
Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.
Davis, R. A., Mikosch, T., & Cribben, I. (2011). Estimating extremal dependence in univariate and multivariate time series via the extremogram.arXiv preprint arXiv:1107.5592.
Examples
# generate a GARCH(1,1) process
omega = 1
alpha = 0.1
beta = 0.6
n = 1000
uplevel = 0.95
lowlevel = 0.05
type = 3
maxlag = 70
df = 3
G = extremogram:::garchsim(omega,alpha,beta,n,df)
extremogramr(G, type, maxlag, uplevel, lowlevel, 1, 1)