How to create a leverage plot for return series?
I found a text with an explanation of the leverage effect and a corresponding leverage plot. Now, I am wondering how I can do the plot in R for my stock return series. I think copy-pasting the text and plot is the most effective way to explain it to those of you who are not familiar with the concept. Any help would be much appreciated!
Best, targa
(source: http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf)
r return time-series
asked Nov 14 '18 at 20:12
targatarga
226
add a comment |
I found a text with an explanation of the leverage effect and a corresponding leverage plot. Now, I am wondering how I can do the plot in R for my stock return series. I think copy-pasting the text and plot is the most effective way to explain it to those of you who are not familiar with the concept. Any help would be much appreciated!
Best, targa
(source: http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf)
r return time-series
asked Nov 14 '18 at 20:12
targatarga
226
Is there anyone who can answer my question or has at least an idea how to approach it?
– targa
Nov 20 '18 at 11:53
add a comment |
I found a text with an explanation of the leverage effect and a corresponding leverage plot. Now, I am wondering how I can do the plot in R for my stock return series. I think copy-pasting the text and plot is the most effective way to explain it to those of you who are not familiar with the concept. Any help would be much appreciated!
Best, targa
(source: http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf)
r return time-series
asked Nov 14 '18 at 20:12
targatarga
226
I found a text with an explanation of the leverage effect and a corresponding leverage plot. Now, I am wondering how I can do the plot in R for my stock return series. I think copy-pasting the text and plot is the most effective way to explain it to those of you who are not familiar with the concept. Any help would be much appreciated!
Best, targa
(source: http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf)
r return time-series
r return time-series
asked Nov 14 '18 at 20:12
targatarga
226
asked Nov 14 '18 at 20:12
targatarga
226
asked Nov 14 '18 at 20:12
targatarga
226
asked Nov 14 '18 at 20:12
targatarga
226
asked Nov 14 '18 at 20:12
targatarga
226
226
Is there anyone who can answer my question or has at least an idea how to approach it?
– targa
Nov 20 '18 at 11:53
add a comment |
Is there anyone who can answer my question or has at least an idea how to approach it?
– targa
Nov 20 '18 at 11:53
Is there anyone who can answer my question or has at least an idea how to approach it?
– targa
Nov 20 '18 at 11:53
Is there anyone who can answer my question or has at least an idea how to approach it?
– targa
Nov 20 '18 at 11:53
add a comment |
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Is there anyone who can answer my question or has at least an idea how to approach it?
– targa
Nov 20 '18 at 11:53