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Example. S&P/TSX Capped Composite Financials, energy, industries, materials PowerPoint PPT Presentation


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ARCH(m). Example. S&P/TSX Capped Composite Financials, energy, industries, materials TSX listed stocks 4 banks. r ate log (ratio) volatility smo (y) lowess (y) lowess (|y – smo (y)|

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Example. S&P/TSX Capped Composite Financials, energy, industries, materials

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Example s p tsx capped composite financials energy industries materials

ARCH(m)

Example.

S&P/TSX Capped Composite

Financials, energy, industries, materials

TSX listed stocks 4 banks


Example s p tsx capped composite financials energy industries materials

rate log (ratio)

volatility

smo(y) lowess(y)

lowess(|y – smo(y)|

library(tseries)junk0<-scan("SPTXT.txt")p<-rev(junk0)y<-diff(log(p))ny<-length(y)par(mfrow=c(2,1))xaxis<-1:nyy<-ts(y,start=1,end=ny)plot(y,main="SPTXT 2010 to 2013",xlab="trading day",ylab="return")lunk<-lowess(xaxis,abs(y-mean(y)),f=.001)yabs<-ts(lunk$y,start=1,end=ny)plot(yabs,main="Smoothed abs(deviation)",xlab="trading day",ylab="")


Example s p tsx capped composite financials energy industries materials

acf, pacf

ARCH?

par(mfrow=c(2,1))acf(y,main="ACF SPTXT returns",xlab="lag (days)")yy<-y-mean(y);yy<-yy^2pacf(yy,main="PACF SPTXT returns^2",xlab="lag (days)")


Example s p tsx capped composite financials energy industries materials

Fitted conditional (variance?)

plugged in estimate of

library(tseries)P<-5PP<-P+1junk1<-garch(y,order=c(0,P),grad="analytic")summary(junk1)par(mfrow=c(2,1))yvol<-ts(junk1$fit[,1],start=1,end=ny)plot(yvol,type="l",ylim=c(0,max(abs(y))),main=paste("Estimated volatility - ARCH",P),xlab="trading day",ylab="volatility")

Standardized residuals (of?)

yres<-ts(junk1$res,start=1,end=ny)


Example s p tsx capped composite financials energy industries materials

Standardized residuals (of?)

yres<-ts(junk1$res,start=1,end=ny)plot(yres,main="Residuals ofARCH(5)",type="l",xlab="tradingday",ylab="return")


Example s p tsx capped composite financials energy industries materials

GARCH(m,r)


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