ReturnSeriesBasics {fBasics}R Documentation

Return Series Basics

Description

A collection and description of functions which allow to investigate and display the basics of financial return sderies.

List of Functions:

basicStats Computes an overview of basic statistical values,
seriesPlot Returns a tailored return series plot,
cumulatedPlot Returns a tailored cumulatede return plot,
histPlot Returns a tailored histogram plot,
densityPlot Returns a tailored kernel density estimate plot,
qqnormPlot Returns a tailored Normal quantile-quantile plot,
qqnigPlot Returns a tailored NIG quantile-quantile plot,
boxPlot Returns a side-by-side standard box plot,
boxPercentilePlot Returns a side-by-side box-percentile plot,
returnSeriesGUI Opens a GUI for return series plots.

Usage

 
basicStats(x, ci = 0.95)

seriesPlot(x, labels = TRUE, type = "l", col = "steelblue", 
    ylab = "Returns", rug = TRUE, ...) 
cumulatedPlot(x, index = 100, labels = TRUE, type = "l", col = "steelblue", 
    ylab = "Index", rug = TRUE, ...)
histPlot(x, labels = TRUE, col = "steelblue", add.fit = TRUE, rug = TRUE, 
    skipZeros = TRUE, ...) 
densityPlot(x, labels = TRUE, col = "steelblue", add.fit = TRUE, 
    rug = TRUE, skipZeros = TRUE, ...) 

qqnormPlot(x, labels = TRUE, col = "steelblue", rug = TRUE, 
    scale = TRUE, ...) 
qqnigPlot(x, labels = TRUE, col = "steelblue", rug = TRUE, ...)

boxPlot(x, col = "steelblue", ...)
boxPercentilePlot(x, col = "steelblue", ...) 

returnSeriesGUI(x)

Arguments

add.fit [*Plot] -
a logical, should a fit added to the Plot?
ci [basicsStats] -
confidence interval, a numeric value, by default 0.95, i.e. 95 percent.
col, ylab [*Plot] -
plot parameter, color, main title, and y label to be used. Only active when labels=TRUE.
index [cumulatedPlot] -
a numeric value, by default 100. The function cumulates column by colum the returns and multiplies the result with the index value: index*exp(colCumsums(x)).
labels a logical, should the plot be tailored?
rug a logical value by default TRUE. Should a rug representation of the data added to the plot?
scale a logical value by default TRUE. Should the time series be scale for further investigation?
skipZeros a logical, should zeros be skipped in the return Series?
type what type of plot should be drawn. For ossible types consult the plot help page.
x an object of class "timeSeries" or any other object which can be transformed by the function as.timeSeries into an object of class timeSeries.
... optional arguments to be passed.

Value

basicsStats
returns data frame with the following entries and row names: nobs, NAs, Minimum, Maximum , 1. Quartile, 3. Quartile, Mean, Median, Sum, SE Mean, LCL Mean, UCL Mean, Variance, Stdev, Skewness, Kurtosis.
*Plot
For the *Plot functions, beside the plot no values are returned.

returnSeriesGUI
For the returnSeriesGUI function, beside the graphical user interface no values are returned.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

Examples

## basicStats -
   # Simulated Monthly Return Data:
   tS = timeSeries(matrix(rnorm(12)), timeCalendar())
   # ... must be univariate:
   basicStats(tS)

[Package fBasics version 260.72 Index]