[R-SIG-Finance] rugarch roll plot. why abs(mu) in plot?

[Alexios Galanos]

Agreed, it shouldn’t...my bad for copying the code from another plot snippet.
Thanks for catching this. Will fix in next release.

Alexios


> On Nov 30, 2018, at 20:50, Владимир Иванов <vivanov879 using ya.ru> wrote:
> 
>  
>>> Hi. After fitting a rolling model and plotting the Series forecast all forecasted values are positive. Use this code to reproduce: http://www.unstarched.net/wp-content/uploads/2013/06/an-example-in-rugarch.pdf I would expect the series forecasts be both positive and negative. 
>>>  
>>> <series_plot.png>
>>>  
>>> After looking through the sources I found that it is a plot of abs(mu) against realized values. :
>>>  
>>> # rolling series forecast comparison plot
>>> .plot.garchroll.3 = function(x, VaR.alpha = 0.01, density.support = c(-0.15, 0.15), ...)
>>> {
>>> density = x using forecast$density
>>> plot(as.Date(rownames(density)), density[,6], type="l", col = "grey",
>>> main = paste("Series Forecast vs Realized", sep = ""),
>>> ylab = "", xlab  = "", cex.main = 0.7, cex.axis = 0.8, cex.lab=0.9)
>>> lines(as.Date(rownames(density)), abs(density[,1]), col = "tomato1", lwd = 1.5)
>>> grid()
>>> invisible(x)
>>> }
>>>  
>>> I think it there should be no abs . What do you think?
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