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- library(tseries)
- library(magrittr)
- library(ggplot2)
- data(EuStockMarkets)
- dax <- diff(log(EuStockMarkets))[,"DAX"]
- dax.garch <- garch(dax)
- dax.garch
- tidy(dax.garch)
- glance(dax.garch)
- augment(dax.garch, dax) %>% head()
- augment(dax.garch, dax) %>%
- ggplot(aes(x = .time, y = data)) +
- geom_line() +
- geom_line(aes(y = .fitted*2.32), colour = "red")
- smp1 = window(dax, end = c(1997, frequency(dax)))
- smp2 = window(dax, start = c(1998, 1))
- dax.garch <- garch(smp1)
- augment(dax.garch, newdata = smp2) %>%
- ggplot(aes(x = .time, y = newdata)) +
- geom_line() +
- geom_line(aes(y = .fitted*2.32), colour = "red")
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