sym.arma (version 1.0)

qqplot: Quantile-Quantile Plots

Description

This function produces Q-Q plot with envelopes for a time series following conditional symmetric distribution.

Usage

qqplot(model, envelope = 0.95 , B = 400)

Arguments

model

a result of a call to elliptical.ts.

envelope

confidence level for point-wise confidence envelope, or FALSE for no envelope.

B

integer; number of bootstrap replications for confidence envelope. Default is 400 iterations.

References

Cleveland, W.S. (1994). The Elements of Graphing Data, Hobart Press.

Thode, Henry C. (2002). Testing for normality, New York: Marcel Dekker.

Examples

# NOT RUN {
data(assets)
attach(assets)

# Return in the prices on Microsoft and SP500 index

N = length(msf)
.sp500 = ((sp500[2:N]-sp500[1:(N-1)])/sp500[1:(N-1)])*100
.msf = ((msf[2:N]-msf[1:(N-1)])/msf[1:(N-1)])*100

# The T-bill rates were divided by 253 to convert to a daily rate

.tbill = tbill/253

# Excess return in the d prices on Microsoft and SP500 index

Y = .msf - .tbill[1:(N-1)]
X = .sp500 - .tbill[1:(N-1)]

# Period from April 4, 2002 to October 4, 2002

serie = Y[2122:2240]
aux = cbind(X[2122:2240])

# Fit SYMARMA models

fit.1 = elliptical.ts(serie,order=c(0,0,1),xreg=aux,include.mean=FALSE,
 family="Normal")
fit.2 = elliptical.ts(serie,order=c(0,0,1),xreg=aux,include.mean=FALSE,
 family="Student",index1=4)

# Q-Q Plots

qqplot(fit.1, B = 50)
qqplot(fit.2, envelope = FALSE)
# }