#Time series analysis
TCS.BO <- read.csv("C:/Users/RISHI/Desktop/Data Analytics/FDP
105/TCS.BO.csv")
View(TCS.BO)
TCS<-TCS.BO[,c(1,6)] #only date and close price
head(TCS)
class(TCS)
str(TCS)
TCS$Date=as.Date(TCS$Date)
str(TCS)
plot(TCS$Adj.Close~TCS$Date,type="l",col="red")
# import another time series data
library(readxl)
myData <- read_excel("C:/Users/RISHI/Desktop/Data Analytics/FDP
105/HBS_Table_No._155___Quarterly_Estimates_of_Gross_Domestic_Product_at_Fa
ctor_Cost_(at_Constant_Prices)_(New_Series)_(Base__2004-05).xlsx",
sheet = "NAS�2011-12")
head(myData)
names(myData)
str(myData)
myData$GDP<-myData$`Total Gross Value Added at Basic Price`
names(myData)
Data<-myData[,c(2,12)]
head(Data)
str(Data)
plot(Data$GDP,type="l", col="blue")
ts1<-as.ts(Data$GDP)
plot(ts1,col="orange")
ts2=ts(Data$GDP, start=2011, frequency=4)
ts2
plot(ts2)
######################
# how to create a time series object in R?
# using ts function
# ts(data, start, end, frequency)
View(AirPassengers)
plot(AirPassengers)
View(EuStockMarkets)
plot(EuStockMarkets)
str(EuStockMarkets)
sales=c(79,11,74,86,65,23,45,49,99,24,40,48,51)
T1=ts(sales)
T1
plot(T1, col="blue", main= "time plot")
class(sales)
class(T1)
plot(sales)
sales.ts=ts(sales,start=2018, frequency = 12)
sales.ts
sales.ts2=ts(sales,start=2018, frequency = 1)
sales.ts2
sales.ts3=ts(sales,start=c(2018,4), frequency = 12)
sales.ts3
class(sales.ts)
sales.ts4=ts(sales, start=2018, frequency=4)
sales.ts4
plot(sales.ts)
# type="o" means both line and dots will be shown
plot(sales.ts, type="o", main="time plot of sales")
sales1=c(5,22,12,45,67,24,36,43,11,72,25,65,42)
sales1.ts=ts(sales1, start=2018, frequency = 12)
combine.ts=cbind(sales.ts,sales1.ts)
plot(combine.ts)
#plot in one common axis
plot(combine.ts,type="o",plot.type = "single",col=c("red","blue"))
# as.ts() converts a simple object into time series
y=cars$speed
class(y)
y1=as.ts(y)
class(y1)
str(y1)
###############################################
# more example of time series dataset
# EuStockMarket
# AirPassengers
# JohnsonJohnson
# airmiles
# google: TSA package
# airpass: TSA
# electricity: TSA
# gold : TSA
##########################################
# more time series related commands
is.ts(EuStockMarkets)
start(EuStockMarkets)
end(EuStockMarkets)
summary(EuStockMarkets)
cycle(EuStockMarkets)
cycle(AirPassengers)
frequency(EuStockMarkets)
frequency(AirPassengers)
aggregate(AirPassengers)
plot(aggregate(AirPassengers, FUN=mean)) #this will give trend
aggregate(AirPassengers, FUN=mean)
str(AirPassengers)
summary(AirPassengers)
cycle(AirPassengers)
start(AirPassengers)
end(AirPassengers)
frequency(AirPassengers)
boxplot(AirPassengers~cycle(AirPassengers))
# boxplot gives idea about seasonal effect
#decomposition
# In Time series analysis we are generally
# concerned with isolating different types
# of components. Typical components include
# trend and seasonality
# In finance we often encounter exponential
# trend growth, and seasonality.
decompose(AirPassengers) #by default additive
decompose(AirPassengers,type="multiplicative")
plot(decompose(AirPassengers,type="multiplicative"))
# add a trendline to the plot
plot(AirPassengers)
abline(lm(AirPassengers~time(AirPassengers)),col="red")
#############################################
# Most of the models of forecasting are based on
# the assumption of stationarity (AR, ARMA, ARIMA)
# How to check stationarity?
# 1. plot(), 2. ACF, 3. Specific tests (DF, ADF)
################################################
#Stationarity using plot
# 1. plot() ; if the plot exhibits trend, then the data is NS
# if the data exhibits changing variability, data is NS
plot(AirPassengers) # trend and seasonality both, therefore NS
plot(EuStockMarkets[,1]) #trend and changing variance both, therefore NS
plot(JohnsonJohnson) #trend and changing variance both, therefore NS
install.packages("TSA")
library(TSA)
data(electricity)
plot(electricity) #trend and changing variance both, therefore NS
#2. acf plot
# if the decay in acf value is slow and
# there are quite a few significant acf's
acf(EuStockMarkets[,1])
acf(AirPassengers)
acf(JohnsonJohnson)
library(TSA)
data(electricity)
acf(electricity)
# 3. Dickey Fuller test/ augmented dickey fuller
# null hypothesis in adf test: data is non-stationary
install.packages("tseries")
library(tseries)
adf.test(AirPassengers,k=12) # monthly data
adf.test(JohnsonJohnson, k=4) #quarterly data
data(google)
plot(google)
adf.test(google, k=252)
#kpss test
# null hypo in kpss test: data is stationary
kpss.test(AirPassengers)
kpss.test(JohnsonJohnson)
library(TSA)
###############################
# how to make a data stationary
# by differencing: eliminates trend
# by taking log: eliminates unequal variance
diff(AirPassengers)
plot(diff(AirPassengers))
plot(diff(log(AirPassengers)))
acf(diff(log(AirPassengers)))
adf.test(diff(log(AirPassengers)),k=12)
adf.test(diff(log(AirPassengers),differences=2))
######################################
# forecasting using ARIMA
# acf and pacf determines order of AR and MA
# forecasting using "forecast" package
install.packages("forecast")
library(forecast)
#auto.arima function chooses best p,d,q
fit=auto.arima(AirPassengers)
summary(fit)
forecast(fit, h=10) #using forecast
plot(forecast(fit, h=10))
plot(forecast(fit, h=5*12))
predict(fit, n.ahead = 5*12)
#########################################
install.packages("quantmod")
library(quantmod)
d=getSymbols("AAPL",auto.assign=F)
d
head(d)
str(d)
dim(d)
plot(d$AAPL.Close)
plot(Cl(d))
df=data.frame(getSymbols("AAPL", auto.assign=F))
df
head(df)
str(df)
dim(df)
colnames(df)<-c("Open", "High","Low","Close","Vol", "Adjusted")
head(df)
write.csv(df, "AAPL.csv")
a=read.csv("AAPL.csv")
str(a)
a
df1=read.csv("AAPL.csv", row.names=1)
df1
head(df1)
plot(Cl(df))
plot(Cl(df1))
###################################################
