Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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).

Reference(s):

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

Note:

Example:
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)

Result:
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.



Author: R. Chen, C. Hafner, W. Haerdle, R. Schulz, 20010419 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006