plot.xts and rugarch

garch in plot.xts panel.r

#install.packages("xtsExtra", repos="http://R-Forge.R-project.org")

require(quantmod)
require(rugarch)
require(xtsExtra)  #if you get an error, see first line and install from r-forge

getSymbols("DEXJPUS",src="FRED")
DEXJPUS<-1/to.weekly(DEXJPUS)

ugarch.panel <- function(index,x,type,cex,col,pch,...){
  spec = ugarchspec(
    variance.model=list(garchOrder=c(1,1)),
    mean.model=list(armaOrder=c(1,1), include.mean=T))
  #get ugarchroll; I cannot say I completely understand what I'm doing here
  ugr <- ugarchroll(spec,
                    data = na.omit(x),
                    forecast.length = floor(NROW(na.omit(x)) / 1000) * 1000,
                    n.ahead = 1,
                    refit.every = 50,
                    refit.window = "moving")
  #get garch coefficients
  ugr.var <- merge(x,as.data.frame(ugr,which="VaR"))
  ugr.var <- as.xts(apply(ugr.var,MARGIN=2,na.fill,fill=c(0,"extend")),order.by=index(x))[,2:4]
  print(tail(ugr.var))
  default.panel(index,ugr.var[,3],type="h",cex,pch,col,...)
  default.panel(index,ugr.var[,1],type="l",cex,pch,col="red",...)
  default.panel(index,ugr.var[,2],type="l",cex,pch,col="gray50",...)
  text(x=index[1],y=par("usr")[4],"VaR from rugarch ugarchroll",adj=c(0,1),cex=0.8)
  
}
plot.xts(na.omit(merge(DEXJPUS[,4],ROC(DEXJPUS[,4],n=1,type="discrete"))),
         screens=c(1,2),
         minor.ticks=FALSE, major.format="%Y",
         panel=c(default.panel,ugarch.panel),
         main="Japanese Yen (source: St. Louis Federal Reserve)")