R - Programs for Financial Time Series

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library(fGarch)

library(fBasics)

setwd("C:/Documents and Settings/Administrator/Desktop/4th Year")

simple_ret=read.table("d-aapl3idx-0110.txt",header=T);simple_ret

#Question1

#(a)

Transforming to percentage returns and obtaining the descriptive statistics

price_value.ret1=100*(simple_ret$aapl);price_value.ret1

price_value.ret2=100*(simple_ret$vw);price_value.ret2

price_value.ret3=100*(simple_ret$ew);price_value.ret3

price_value.ret4=100*(simple_ret$sp);price_value.ret4

basicstat=cbind(basicStats(price_value.ret1),basicStats(price_value.ret2),basicStats(price

_value.ret3),basicStats(price_value.ret4)); basicstat

#(b)

Transforming Apple stock returns to percentage log returns

price_value.logret=100*log(1+simple_ret$aapl);price_value.logret

basicStats(price_value.logret)

#(c)

jarque.bera.test for normality

library(tseries)

jarque.bera.test(price_value.logret)

#Question 2

#(1)

Transforming to percentage log returns and obtaining the descriptive statistics

simple_ret1=read.table ("m-xomsp-8010.txt",header=T);simple_ret1

price_value.logret1=100*log(1+simple_ret1$xom);price_value.logret1

price_value.logret2=100*log(1+simple_ret1$sp);price_value.logret2

basicstat1=cbind(basicStats(price_value.logret1),basicStats(price_value.logret2));basicsta

#(2)

Normality test

normalTest(price_value.logret1, method = c("sw", "jb"), na.rm = FALSE)

normalTest(price_value.logret2, method = c("sw", "jb"), na.rm = FALSE)

#(3)

Computing Correlation Coefficient, Kendall tau , and Spearman’s rho of the log returns

library(fBasics)

correlationTest(price_value.logret1,price_value.logret2,method="pearson",title=NULL,

description=NULL)

correlationTest(price_value.logret1,price_value.logret2,method="kendall",title=NULL,

description=NULL)

correlationTest(price_value.logret1,price_value.logret2,method="spearman”,

title=NULL,

description=NULL)

#Question 3

data=read.table("m-tb3ms-3411.txt",header=T);data

#(a)

computing descriptive characteristics of interest rates

basicStats(data$rate)

#(b)

computing descriptive characteristics change series of interest rates

change_series=diff(data$rate);change_series

basicStats(change_series)

#(c)

obtaining the percentiles(1,5,10,90,95,99)

position=length(change_series)*c(0.01,0.05,0.10,0.90,0.95,0.99);position

position1=round(position,digits=0);position1

d=data$day;d

change_series1=sort(change_series);change_series1

data1=cbind(d,change_series1);data1

p1=data1[9,2];p1

p2=data1[46,2];p2

p3=data1[92,2];p3

p4=data1[832,2];p4

p5=data1[879,2];p5

p6=data1[916,2];p6

percentiles=cbind(p1,p2,p3,p4,p5,p6);percentiles

#Question 4

#(a)

Transforming simple returns to log returns and plotting its density.

daily_logreturns=log (1+simple_ret$aapl); daily_logreturns

library(car)

densityPlot(daily_logreturns,adjust=1,kernel=c("gaussian","epanechnikov","rectangular",

"triangular", "biweight", "cosine", "optcosine"),xlab

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library(fGarch) library(fBasics) setwd("C:/Documents and Settings/Administrator/Desktop/4th Year") simple_ret=read.table("d-aapl3idx-0110.txt",header=T);simple_ret #Question1 #(a) Transforming to percentage returns and obtaining the descriptive statistics price_value.ret1=100*(simple_ret$aapl);price_value.ret1 price_value.ret2=100*(simple_ret$vw);price_value.ret2 price_value.ret3=100*(simple_ret$ew);price_value.ret3 price_value.ret4=100*(simple_ret$sp);price_value.ret4 basicstat=cbind(basicStats(price_value.ret1),basicStats(price_value.ret2),basicStats(price_value.ret3),basicStats(price_value.ret4)); basicstat #(b) Transforming Apple stock returns to percentage log returns price_value.logret=100*log(1+simple_ret$aapl);price_value.logret basicStats(price_value.logret) #(c) jarque.bera.test for normality library(tseries) jarque.bera.test(price_value.logret) #Question 2 #(1) Transforming to percentage log returns and obtaining the descriptive statistics simple_ret1=read.table ("m-xomsp-8010.txt",header=T);simple_ret1 price_value.logret1=100*log(1+simple_ret1$xom);price_value.logret1 price_value.logret2=100*log(1+simple_ret1$sp);price_value.logret2 basicstat1=cbind(basicStats(price_value.logret1),basicStats(price_value.logret2));basicsta1 #(2) Normality test normalTest(price_value.logret1, method = c("sw", "jb"), na.rm = FALSE) normalTest(price_value.logret2, method = c("sw", "jb"), na.rm = FALSE) #(3) Computing Correlation Coefficient, Kendall tau , and Spearman's rho ...
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