sisireg (version 1.1.2)

snarch: S-NARCH Model

Description

Calculates the long-, middle- and short-term trends and vola for a financial time series.

Usage

snarch(dat)

Value

data frame

tr20

long-term trend

vl20

long-term vola

tr10

middle-term trend

vl10

middle-term vola

tr5

short-term trend

vl5

short-term vola

Arguments

dat

financial time series.

Author

Dr. Lars Metzner

References

Dr. Lars Metzner (2019) Finanzmathematische Zeitreihenanalyse. Independently Published.

Examples

# generate test data
set.seed(1234)
x <- seq(1:250)
dat <- 13000 + cumsum(rnorm(250))
# calculate the S-NARCH model
df <- snarch(dat)
# plot the results
op <- par(mfrow=c(1,3))
plot(x,dat)
lines(x,df$tr20)
lines(x,df$tr20 - df$vl20, lty = 'dotted')
lines(x,df$tr20 + df$vl20, lty = 'dotted')
plot(x,dat)
lines(x,df$tr10)
lines(x,df$tr10 - df$vl10, lty = 'dotted')
lines(x,df$tr10 + df$vl10, lty = 'dotted')
plot(x,dat)
lines(x,df$tr5)
lines(x,df$tr5 - df$vl5, lty = 'dotted')
lines(x,df$tr5 + df$vl5, lty = 'dotted')
par(op)