Showing posts with label Stylized facts on the returns for Siemens. Show all posts
Showing posts with label Stylized facts on the returns for Siemens. Show all posts

Tuesday, April 9, 2019

Stylized facts on the returns for Siemens

Stylized facts on the returns 

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library ( fBasics )
> library ( evir )
Warning message:
package ‘evir’ was built under R version 3.5.2
> data ( siemens )
SieDates <− as.character(format(as.POSIXct(attr( siemens,"times")),"%Y−%m−%d"))
> SieRet <− timeSeries(siemens ∗ 100,charvec =SieDates)
> colnames(SieRet) <− "SieRet"
> par (mfrow = c(2,2))
> seriesPlot(SieRet,title= FALSE,main="DailyReturnsof
+ Siemens" , col = "blue")
> boxPlot(SieRet,title = FALSE,main = "BoxplotofReturns",col = "blue",cex = 0.5,pch = 19)
> acf(SieRet, main = "ACFofReturns",lag.max = 2 0,ylab = " ", xlab = "",col =" blue " , ci.col = " red" )
Error: unexpected numeric constant in "acf(SieRet, main = "ACFofReturns",lag.max = 2 0"
> acf(SieRet, main = "ACFofReturns",lag.max = 20,ylab = " ", xlab = "",col =" blue " , ci.col = " red" )
> pacf(SieRet,main ="PACF of Returns ",lag.max = 20,
+           ylab = "",xlab = "" ,col = "blue",ci.col =" red")
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