Plot returns with bands from the fitted model — plot

Plots the observed returns together with the central level interval of the fitted conditional distribution of each return, given the estimated log-volatility h_t. The interval uses the error distribution of the model, so it is asymmetric for the skew gaussian models and wider for the t model. Returns outside the interval are marked in red.

Usage

plot_returns(x, level = 0.95, dates = NULL)

Arguments

x: A stochvolTMB object returned from estimate_parameters.
level: Probability covered by the interval.
dates: Vector of length x$nobs, providing optional dates for labeling the x-axis. The default value is NULL; in this case, the axis will be labeled with numbers.

Value

ggplot object.

Details

The subtitle shows the share of returns outside the interval. For a good model it is close to 1 - level. The bands use the smoothed estimate of h_t, which also uses y_t. The share is therefore an optimistic, in-sample check. Use plot_diagnostics for a check based on one-step-ahead residuals.

Examples

# \donttest{
data(spy)
opt <- estimate_parameters(spy$log_return, model = "skew_gaussian_leverage", silent = TRUE)
plot_returns(opt, dates = spy$date)

# }