Showing posts with label stock price of infosys. Show all posts
Showing posts with label stock price of infosys. Show all posts

Monday, October 7, 2019

Stock price of infosys

The stock price of Infosys -R

"INFY.NS"
> chartSeries(Cl(INFY.NS))
 stock price of Infosys





> infyret <- dailyReturn(Cl(INFY.NS), type='log')
> par(mfrow=c(2,2))
> acf(infyret, main="Return ACF");
> pacf(infyret, main="Return PACF");
> acf(infyret^2, main="Squared return ACF");
> pacf(infyret^2, main="Squared return PACF")
 stock price of Infosys

> par(mfrow=c(1,1))
> m=mean(infyret);s=sd(ret);
> par(mfrow=c(1,2))
> hist(infyret, nclass=40, freq=FALSE, main='Return histogram');curve(dnorm(x,mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
 stock price of Infosys

> plot(density(infyret), main='Return empirical distribution');curve(dnorm(x,mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
 stock price of Infosys

> kurtosis(infyret)
daily.returns 
     307.8082 
> plot(density(infyret), main='Return EDF - upper tail', xlim = c(0.1, 0.2),ylim=c(0,2));
> qqnorm(infyret)
> qqline(infyret);
conclusion
> chartSeries(infyret)
 stock price of Infosys

> garch11.spec = ugarchspec(variance.model = list(model="sGARCH",
+ garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> infy.garch11.fit = ugarchfit(spec=garch11.spec, data=infyret)

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