Library: | times |
See also: | acf pacf pacfplot fft invfft |
Quantlet: | acfplot | |
Description: | plots the (sample) autocorrelation function of the time series x. The plot starts with the autocorrelation r_0 at lag length 0 (and is thus equal to 1). |
Usage: | acfplot(x {, maxlag}) | |
Input: | ||
x | T x 1 vector of observed time series | |
maxlag | (optional) integer; maximum lag length that will be plotted, default value is 30 |
library("times") ; loads the quantlets from times library dax = read("dax.dat") ; monthly DAX 1979:1-2000:10 return = tdiff(log(dax)) ; generates the monthly return acfplot(return^2,13)
Display that shows the autocorrelation function of the squared monthly DAX returns up to 12 lags. The total number of observations is T = 261 and thus the confidence bands are +/- 0.12.