"""Volatility path plotting."""
from typing import TYPE_CHECKING
import matplotlib.pyplot as plt
from matplotlib.figure import Figure
if TYPE_CHECKING:
from impulso.results import VolatilityResult
[docs]
def plot_volatility(
result: "VolatilityResult",
hdi_prob_outer: float = 0.90,
hdi_prob_inner: float = 0.68,
) -> Figure:
"""Plot posterior conditional-SD path with HDI bands.
Args:
result: VolatilityResult.
hdi_prob_outer: Outer (lighter) HDI probability.
hdi_prob_inner: Inner (darker) HDI probability.
Returns:
Matplotlib Figure.
"""
med = result.median()
hdi_outer = result.hdi(prob=hdi_prob_outer)
hdi_inner = result.hdi(prob=hdi_prob_inner)
fig, ax = plt.subplots(figsize=(10, 4))
col = result.series_name
ax.fill_between(
med.index,
hdi_outer.lower[col].values,
hdi_outer.upper[col].values,
alpha=0.15,
color="C0",
label=f"{int(hdi_prob_outer * 100)}% HDI",
)
ax.fill_between(
med.index,
hdi_inner.lower[col].values,
hdi_inner.upper[col].values,
alpha=0.3,
color="C0",
label=f"{int(hdi_prob_inner * 100)}% HDI",
)
ax.plot(med.index, med[col].values, color="C0", linewidth=1.5, label="Median")
ax.set_ylabel(f"Conditional SD ({col})")
ax.set_title(f"Posterior volatility — {col}")
ax.legend(fontsize=8)
ax.grid(alpha=0.3)
fig.tight_layout()
return fig