Stock price Titan with R

Stock price Titan with R

Stock price Titan with R


Close Price has been taken from Jan 2004 to 10 Oct 2019
 head(TITAN.NS)
           TITAN.NS.Open TITAN.NS.High TITAN.NS.Low TITAN.NS.Close
2004-01-01        6.3525        6.5205       6.3525         6.4645
2004-01-02        6.5205        6.5690       6.3870         6.4210
2004-01-05        6.5205        6.5545       6.1315         6.3160
2004-01-06        6.0825        6.4235       6.0825         6.1700
2004-01-07        6.1315        6.2775       5.8880         6.1850
2004-01-08        6.3845        6.4960       6.2335         6.2700
           TITAN.NS.Volume TITAN.NS.Adjusted
2004-01-01         1541540          2.371147
2004-01-02         1706280          2.355192
2004-01-05         1920180          2.316678
2004-01-06         2188640          2.263126
2004-01-07         2549280          2.268628
2004-01-08         1983360          2.299806
> chartSeries(Cl(TITAN.NS))
> addMACD()
> addRSI()
> addBBands()
Stock price Titan with R

> ret <- dailyReturn(Cl(TITAN.NS), type='log')
 TITAN-ACF,PACF
Stock price Titan with R

 kurtosis(ret)

daily.returns 
     9.993311 
> plot(density(ret), main='Return EDF - upper tail', xlim = c(0.1, 0.2),ylim=c(0,2));
> curve(dnorm(x, mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), xlim=c(-5*s,5*s),log='y', main='Density on log-scale')
Stock price Titan with R

Stock price Titan with R

Warning message:
In xy.coords(x, y, xlabel, ylabel, log) :
  9 y values <= 0 omitted from logarithmic plot
> curve(dnorm(x, mean=m,sd=s), from=-5*s, to=5*s, log="y", add=TRUE,
+       col="red")
> qqnorm(ret);qqline(ret);
Stock price Titan with R

Stock price Titan with R

> library("rugarch", lib.loc="~/R/win-library/3.6")
Loading required package: parallel

Attaching package: ‘rugarch’

The following object is masked from ‘package:stats’:

    sigma

> ret.titan <- dailyReturn(Cl(TITAN.NS), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
  missing values removed from data
> chartSeries(ret.titan)
Stock price Titan with R

> garch11.spec = ugarchspec(variance.model = list(model="sGARCH",
+     garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> titan.garch11.fit = ugarchfit(spec=garch11.spec, data=ret.titan)
> coef(titn.garch11.fit)
Error in coef(titn.garch11.fit) : object 'titn.garch11.fit' not found
> coef(titan.garch11.fit)
          mu        omega       alpha1        beta1 
1.819743e-03 2.415436e-05 7.697594e-02 8.913049e-01 
> vcov(titan.garch11.fit) 
              [,1]          [,2]          [,3]          [,4]
[1,]  1.378465e-07  6.991433e-11  3.165485e-07 -3.884537e-07
[2,]  6.991433e-11  5.358298e-11  8.841252e-08 -1.600228e-07
[3,]  3.165485e-07  8.841252e-08  2.176863e-04 -3.196175e-04
[4,] -3.884537e-07 -1.600228e-07 -3.196175e-04  5.262606e-04
> infocriteria(titan.garch11.fit) 
                      
Akaike       -4.541518
Bayes        -4.535075
Shibata      -4.541520
Hannan-Quinn -4.539231
> uncmean(titan.garch11.fit) 
[1] 0.001819743
> uncvariance(titan.garch11.fit) 
[1] 0.0007615068
conclusion

> signbias(titan.garch11.fit)
                      t-value       prob sig
Sign Bias          1.01021551 0.31245496    
Negative Sign Bias 1.87576669 0.06076225   *
Positive Sign Bias 0.07560179 0.93973981    
Joint Effect       3.55376613 0.31385549    

 newsimpact(titan.garch11.fit) 
$zy
  [1] 0.0076307233 0.0073536382 0.0070822079 0.0068164324
  [5] 0.0065563117 0.0063018458 0.0060530347 0.0058098784
  [9] 0.0055723769 0.0053405302 0.0051143383 0.0048938011
 [13] 0.0046789188 0.0044696913 0.0042661186 0.0040682006
 [17] 0.0038759375 0.0036893292 0.0035083757 0.0033330769
 [21] 0.0031634330 0.0029994439 0.0028411095 0.0026884300
 [25] 0.0025414052 0.0024000353 0.0022643201 0.0021342598
 [29] 0.0020098542 0.0018911035 0.0017780075 0.0016705664
 [33] 0.0015687800 0.0014726484 0.0013821717 0.0012973497
 [37] 0.0012181825 0.0011446702 0.0010768126 0.0010146098
 [41] 0.0009580618 0.0009071686 0.0008619303 0.0008223467
 [45] 0.0007884179 0.0007601439 0.0007375247 0.0007205603
 [49] 0.0007092507 0.0007035959 0.0007035959 0.0007092507
 [53] 0.0007205603 0.0007375247 0.0007601439 0.0007884179
 [57] 0.0008223467 0.0008619303 0.0009071686 0.0009580618
 [61] 0.0010146098 0.0010768126 0.0011446702 0.0012181825
 [65] 0.0012973497 0.0013821717 0.0014726484 0.0015687800
 [69] 0.0016705664 0.0017780075 0.0018911035 0.0020098542
 [73] 0.0021342598 0.0022643201 0.0024000353 0.0025414052
 [77] 0.0026884300 0.0028411095 0.0029994439 0.0031634330
 [81] 0.0033330769 0.0035083757 0.0036893292 0.0038759375
 [85] 0.0040682006 0.0042661186 0.0044696913 0.0046789188
 [89] 0.0048938011 0.0051143383 0.0053405302 0.0055723769
 [93] 0.0058098784 0.0060530347 0.0063018458 0.0065563117
 [97] 0.0068164324 0.0070822079 0.0073536382 0.0076307233

$zx
  [1] -0.300000000 -0.293939394 -0.287878788 -0.281818182
  [5] -0.275757576 -0.269696970 -0.263636364 -0.257575758
  [9] -0.251515152 -0.245454545 -0.239393939 -0.233333333
 [13] -0.227272727 -0.221212121 -0.215151515 -0.209090909
 [17] -0.203030303 -0.196969697 -0.190909091 -0.184848485
 [21] -0.178787879 -0.172727273 -0.166666667 -0.160606061
 [25] -0.154545455 -0.148484848 -0.142424242 -0.136363636
 [29] -0.130303030 -0.124242424 -0.118181818 -0.112121212
 [33] -0.106060606 -0.100000000 -0.093939394 -0.087878788
 [37] -0.081818182 -0.075757576 -0.069696970 -0.063636364
 [41] -0.057575758 -0.051515152 -0.045454545 -0.039393939
 [45] -0.033333333 -0.027272727 -0.021212121 -0.015151515
 [49] -0.009090909 -0.003030303  0.003030303  0.009090909
 [53]  0.015151515  0.021212121  0.027272727  0.033333333
 [57]  0.039393939  0.045454545  0.051515152  0.057575758
 [61]  0.063636364  0.069696970  0.075757576  0.081818182
 [65]  0.087878788  0.093939394  0.100000000  0.106060606
 [69]  0.112121212  0.118181818  0.124242424  0.130303030
 [73]  0.136363636  0.142424242  0.148484848  0.154545455
 [77]  0.160606061  0.166666667  0.172727273  0.178787879
 [81]  0.184848485  0.190909091  0.196969697  0.203030303
 [85]  0.209090909  0.215151515  0.221212121  0.227272727
 [89]  0.233333333  0.239393939  0.245454545  0.251515152
 [93]  0.257575758  0.263636364  0.269696970  0.275757576
 [97]  0.281818182  0.287878788  0.293939394  0.300000000

$yexpr
expression(sigma[t]^2)

$xexpr
expression(epsilon[t - 1])


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