ps.options(horizontal=FALSE,onefile=FALSE)
ps.options(pagecentre=TRUE)
ps.options(paper="letter")
ps.options(width=7.0,height=10.0)

cn <- c("YYMMDD","DOW","HOL","WE","GAP","adjV","adjR","V","R")

dat <- read.table("spadjust.dat",header=F,col.names=cn)

n <- length(dat[,"adjV"])
adjV <- dat[2:n,"adjV"]
adjRlag <- dat[1:(n-1),"adjR"]
idx <- abs(adjRlag) > 9

lev  <- matrix(scan("f1f1f1f0s4434421.lev"),ncol=6,byrow=T)

postscript(file="levsig.eps")
par(mfrow=c(2,1))
plot(lev[,1],lev[,4],
   main="Conditional Variance Function of S&P Returns",
   xlab="Return Shock",ylab="Variance", type="n")
   lines(lev[,1],lev[,4],type="l",lty=1)
plot(lev[,1],lev[,6],
   main="Conditional Variance Function of S&P Log Volume",
   xlab="Return Shock",ylab="Variance", type="n")
   lines(lev[,1],lev[,6],type="l",lty=1)
dev.off()

postscript(file="levmu.eps")
par(mfrow=c(2,1))
plot(lev[,1],lev[,2],
   main="Conditional Mean Function of S&P Returns",
   xlab="Return Shock",ylab="Mean", type="n")
   lines(lev[,1],lev[,2],type="l",lty=1)
plot(lev[,1],lev[,3],
   main="Conditional Mean Function of S&P Log Volume",
   xlab="Return Shock",ylab="Mean", type="n")
   lines(lev[,1],lev[,3],type="l",lty=1)
dev.off()

#postscript(file="lev.eps")
#par(mfrow=c(2,1))
#plot(lev[,1],lev[,3],
#   main="Conditional Mean Function of S&P Log Volume",
#   xlab="Return Shock",ylab="Mean", type="n")
#   lines(lev[,1],lev[,3],type="l",lty=1)
#plot(lev[,1],lev[,6],
#   main="Conditional Variance Function of S&P Log Volume",
#   xlab="Return Shock",ylab="Variance", type="n")
#   lines(lev[,1],lev[,6],type="l",lty=1)
#dev.off()
#

ps.options(horizontal=FALSE,onefile=FALSE)
ps.options(pagecentre=TRUE)
ps.options(paper="letter")
ps.options(width=7.0,height=5.0)

postscript(file="lev.eps")
par(oma=c(2,2,2,4))
plot(c(lev[,1],adjRlag[idx]),c(lev[,3],adjV[idx]),type="n",
main="Conditional Mean and Variance of S&P Log Volume",
xlab="Return Shock",sub="Mean: dashed line, Variance: solid line",
ylab="Mean")
lineslev[,1],lev[,3],type="l",lty=2)
points(x=adjRlag[idx],y=adjV[idx])
par(new=T,oma=c(2,2,2,4))
plot(lev[,1],lev[,6],type="l",lty=1,yaxt="n",ylab="",xlab="")
axis(4,pretty(range(lev[,6])))
mtext("Variance",side=4,line=3,font=1)
dev.off()