library("finance")
func("setmask")
func("discrete")
func("select1item")
x1 = read("dmus58")
x2 = read("jpydem")
x = x1[1:rows(x2)]~x2[,8]
items = "DM/$"|"YEN/DM"
headline = "choose the data set:"
it = select1item(headline, items)
x = x[,it]
title = "DM/$ returns"|"YEN/DM returns"
title = title[it]
x = x[2:rows(x)] - x[1:rows(x) -1]
x = paf(x, x != 0)
powtr = sqrt(abs(x))
names = "sample size = "|"lambda = "|"mu = "|"m0 = "
defaults = rows(x)|1|3|100
v = readvalue(names, defaults)
lambda = v[2]
mu = v[3]
m0 = v[4]
x = x[1:v[1]]
{xest, hom} = lochomest(powtr, lambda, mu, m0)
setsize(500, 750)
d = createdisplay(3, 1)
setsize(500, 500)
t = 1:rows(hom)
hom = t~hom
xest = t~xest
vol = t~(abs(x))
x = t~x
x = setmask(x, "line", "color", 1)
hom = paf(hom, hom[,2] != 1)
xest = paf(xest, xest[,2] != 1)
hom = setmask(hom, "line", "thin")
xest = setmask(xest, "line", "thin")
show(d, 1, 1, x)
show(d, 2, 1, xest)
show(d, 3, 1, hom)
setgopt(d, 1, 1, "title", title)
setgopt(d, 2, 1, "title", "Volatility")
setgopt(d, 3, 1, "title", "Interval of homogeneity")
setgopt(d, 1, 1, "xoffset", 5|5, "yoffset", 20|20)
setgopt(d, 2, 1, "xoffset", 5|5, "yoffset", 20|20)
setgopt(d, 3, 1, "xoffset", 5|5, "yoffset", 20|20)