garchplot (GARCH Toolbox)

Plot matched univariate innovations, volatility, and return series

Syntax

```
garchplot(Innovations, Sigma, Series)
```

Arguments

Innovations
Vector or matrix of innovations. As a vector, Innovations represents a single realization of a univariate time series in which the first element contains the oldest observation and the last element the most recent. As a matrix, each column of Innovations represents a single realization of a univariate time series in which the first row contains the oldest observation of each realization and the last row the most recent. If Innovations = [], then Innovations is not displayed.

Sigma
Vector or matrix of conditional standard deviations. In general, Innovations and Sigma are the same size, and form a matching pair of arrays. If Sigma = [], then Sigma is not displayed.

Series
Vector or matrix of asset returns. In general, Series is the same size as Innovations and Sigma, and is organized in exactly the same manner. If Series = [] or is not specified, then Series is not displayed.

`Innovations`	Vector or matrix of innovations. As a vector, `Innovations` represents a single realization of a univariate time series in which the first element contains the oldest observation and the last element the most recent. As a matrix, each column of `Innovations` represents a single realization of a univariate time series in which the first row contains the oldest observation of each realization and the last row the most recent. If `Innovations = []`, then `Innovations` is not displayed.
`Sigma`	Vector or matrix of conditional standard deviations. In general, `Innovations` and `Sigma` are the same size, and form a matching pair of arrays. If `Sigma = []`, then `Sigma` is not displayed.
`Series`	Vector or matrix of asset returns. In general, `Series` is the same size as `Innovations` and `Sigma`, and is organized in exactly the same manner. If `Series = []` or is not specified, then `Series` is not displayed.

Description

garchplot lets you visually compare matched innovations, conditional standard deviations, and returns. It provides a convenient way to compare innovations series, simulated using garchsim or estimated using garchfit, with companion conditional standard deviations, or returns series. You can also use garchplot to plot forecasts, computed using garchpred, of conditional standard deviations and returns.

In general, garchplot produces a tiered plot of matched time series. garchplot does not display an empty or missing input array, i.e., garchplot allocates no space in the tiered figure window to the array. garchplot displays valid (nonempty) Innovations, Sigma, and Series arrays in the top, center, and bottom plots, respectively. Since garchplot assigns a title and label to each plot according to its position in the argument list, you can ensure correct plot annotation by using empty matrices ([]) as placeholders.

You can plot several realizations of each array simultaneously because garchplot color codes corresponding realizations of each input array. However, the plots may become cluttered if you try to display more than a few realizations of each input at one time.

Examples

Assume Innovations, Sigma, and Series are not empty.

garchplot(Innovations)                % Plot Innovations only.
garchplot(Innovations, [], Series)    % Plot Innovations and
                                      % Series only.
garchplot([], Sigma, Series)          % Plot Sigma and Series
                                      % only.
garchplot(Innovations, Sigma, Series) % Plot all three vectors.
garchplot(Innovations, Sigma, [])     % Plot Innovations and
                                      % Sigma only.
garchplot(Innovations, Sigma)         % Plot Innovations and
                                      % Sigma only.

See Also
garchfit, garchpred, garchsim

garchma garchpred