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Subject: XploRe: Learning Guide
See XploRe:

Quantlet: xtrm01
Description: Plots empirical qf and GP qf fitted by Moment(GP) and Hill(GP1) to dyr.dat
Download: xtrm01.xpl

Notes:
Please use dyr1000.dat instead of dyr.dat, if you have the XploRe Academic Edition.

Code:
library("finance")
library("xplore")
dyr=read("dyr.dat")
dyr=-dyr
;
m=momentgp(dyr,160)
;
setsize(640,480)
d=createdisplay(1,1)
;
t=aseq(0.965,350,0.0001)
qf=t~m.mu+m.sigma*qfx("gp",t,m.gamma)
qf=setmask(qf,"line","black","thin","dotted")
show(d,1,1,qf)
;
empqf=(4284:4444)/4445~sort(dyr)[4284:4444]
empqf=setmask(empqf,"line","black","thin","solid")
adddata(d,1,1,empqf)
;
h=hillgp1(dyr,160)
;
t=aseq(0.965,350,0.0001)
hqf=t~h.sigma*qfx("gp1",t,h.alpha)
hqf=setmask(hqf,"line","black","thin","dashed")
adddata(d,1,1,hqf)
;
setgopt(d,1,1,"xvalue",0|1,"yvalue",0|1,"ymajor",0.02)

Subject: XploRe: Learning Guide
See XploRe:

© MD*Tech - Method and Data Technologies, generated on 6.6.2000 .