Library: | times |
See also: | pacf acf acfplot fft invfft |
Quantlet: | pacfplot | |
Description: | plots the (sample) partial autocorrelation function of the time series x. The plot starts with the partial autocorrelation phi_1 at lag length 1. |
Usage: | pacfplot(x {, maxlag}) | |
Input: | ||
x | T x 1 vector of observed time series | |
maxlag | (optional) integer; maximum lag length that will be calculated, 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 pacfplot(return^2,12)
Display that shows the partial 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.