Stock price suzlon
getSymbols("SUZLON.NS", from="2004-01-01", to=Sys.Date())[1] "SUZLON.NS"
> chartSeries(Cl(SUZLON.NS))
> retsuz <- dailyReturn(Cl(SUZLON.NS), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
missing values removed from data
> par(mfrow=c(2,2))
> acf(retsuz, main="Return ACF");
> pacf(retsuz, main="Return PACF");
> acf(retsuz^2, main="Squared return ACF");
> pacf(retsuz^2, main="Squared return PACF")
> par(mfrow=c(1,1))
> m=mean(retsuz);s=sd(retsuz);
> par(mfrow=c(1,2))
> hist(retsuz, nclass=40, freq=FALSE, main='Return histogram');curve(dnorm(x,mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(retsuz), main='Return empirical distribution');curve(dnorm(x,mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
 |
| Add caption |
> par(mfrow=c(1,1))
> kurtosis(retsuz)
[1] 15.7327
attr(,"method")
[1] "excess"
> plot(density(retsuz), 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(retsuz), xlim=c(-5*s,5*s),log='y', main='Density on log-scale')
Warning message:
In xy.coords(x, y, xlabel, ylabel, log) :
4 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(retsuz);qqline(retsuz);
> chartSeries(retsuz)
> garch11.spec = ugarchspec(variance.model = list(model="sGARCH",garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> suz.garch11.fit = ugarchfit(spec=garch11.spec, data=retsuz)
>
> coef(suz.garch11.fit)
mu omega alpha1
-3.964916e-04 8.804198e-05 1.593166e-01
beta1
7.935855e-01
> vcov(suz.garch11.fit)
[,1] [,2] [,3]
[1,] 2.875694e-07 -3.713141e-10 6.073670e-08
[2,] -3.713141e-10 1.915858e-10 1.397493e-07
[3,] 6.073670e-08 1.397493e-07 3.067098e-04
[4,] 2.231196e-07 -2.542698e-07 -3.202676e-04
[,4]
[1,] 2.231196e-07
[2,] -2.542698e-07
[3,] -3.202676e-04
[4,] 4.457627e-04
> uncmean(suz.garch11.fit)
[1] -0.0003964916
> uncvariance(suz.garch11.fit)
[1] 0.001869342
> 2005-10-20 -6.822532e-02
2005-10-21 4.121229e-02
2005-10-24 -2.958023e-02
2005-10-25 8.392597e-03
2005-10-26 4.301304e-02
2005-10-27 -1.727586e-02
2005-10-28 -2.994750e-02
2005-10-31 8.649228e-02
2005-11-02 3.139711e-02
2005-11-07 -1.567272e-02
2005-11-08 5.185169e-02
2005-11-09 -2.225047e-02
2005-11-10 2.088043e-02
2005-11-11 1.821582e-02
2005-11-14 -3.023412e-02
2005-11-16 -7.341087e-04
2005-11-17 1.669781e-02
2005-11-18 -1.000040e-02
2005-11-21 -1.533707e-02
2005-11-22 -1.634002e-02
2005-11-23 1.221561e-02
2005-11-24 4.036351e-03
2005-11-25 2.163212e-02
2005-11-28 7.915134e-02
2005-11-29 4.230397e-02
2005-11-30 -5.634843e-03
2005-12-01 1.485744e-02
2005-12-02 -3.022868e-02
2005-12-05 9.369390e-03
2005-12-06 -2.792305e-02
2005-12-07 -8.160027e-03
2005-12-08 1.538311e-02
2005-12-09 7.438350e-02
2005-12-12 1.864760e-02
2005-12-13 6.772258e-03
2005-12-14 2.400344e-02
2005-12-15 -3.411791e-02
2005-12-16 2.312293e-02
2005-12-19 -3.400828e-03
2005-12-20 -1.764676e-02
2005-12-21 -4.707814e-03
2005-12-22 -1.745006e-02
2005-12-23 -6.307743e-03
2005-12-26 -2.127080e-02
2005-12-27 3.918913e-02
2005-12-28 -7.310322e-03
2005-12-29 -1.021983e-02
2005-12-30 2.140583e-02
2006-01-02 1.960204e-03
2006-01-03 8.985474e-04
2006-01-04 8.008246e-03
2006-01-05 -3.874552e-03
2006-01-06 -1.421785e-02
2006-01-09 5.403957e-03
2006-01-10 -3.072595e-02
2006-01-12 -3.652022e-02
2006-01-13 3.499466e-02
2006-01-16 5.836565e-03
2006-01-17 6.553230e-03
2006-01-18 6.857562e-03
2006-01-19 2.394020e-02
2006-01-20 2.367061e-02
2006-01-23 -2.708296e-03
2006-01-24 2.347775e-02
2006-01-25 4.062548e-02
2006-01-27 1.439274e-01
2006-01-30 -4.586162e-02
2006-01-31 8.174288e-02
2006-02-01 -6.057619e-02
2006-02-02 5.119877e-03
2006-02-03 -3.972718e-02
2006-02-06 5.477430e-03
2006-02-07 3.389750e-02
2006-02-08 -1.722937e-02
2006-02-10 1.142048e-02
2006-02-13 2.039652e-03
2006-02-14 -4.816136e-03
2006-02-15 -2.208889e-02
2006-02-16 -3.220338e-03
2006-02-17 -3.528992e-02
2006-02-20 1.280334e-02
2006-02-21 -2.932432e-03
2006-02-22 -9.120415e-03
2006-02-23 1.039657e-02
2006-02-24 3.070110e-02
2006-02-27 1.744810e-02
2006-02-28 1.225749e-02
2006-03-01 9.880902e-04
2006-03-02 3.930393e-02
2006-03-03 3.129146e-02
2006-03-06 2.089110e-02
2006-03-07 -1.600829e-03
2006-03-08 -1.192504e-02
2006-03-09 -7.988038e-03
2006-03-10 9.200407e-02
2006-03-13 2.579677e-02
2006-03-14 -1.862192e-02
2006-03-16 -5.248400e-03
2006-03-17 6.195626e-03
2006-03-20 7.273098e-03
2006-03-21 -1.301622e-02
2006-03-22 1.545407e-02
2006-03-23 3.632178e-02
2006-03-24 -2.084527e-02
2006-03-27 2.171195e-02
2006-03-28 -3.083614e-02
2006-03-29 -1.507328e-03
2006-03-30 -2.207383e-02
2006-03-31 1.544548e-02
2006-04-03 1.718763e-02
2006-04-04 5.637954e-02
2006-04-05 6.802165e-03
2006-04-07 -3.505979e-02
2006-04-10 -3.251952e-02
2006-04-12 -1.198658e-02
2006-04-13 2.811175e-04
2006-04-17 -1.101457e-02
2006-04-18 1.752192e-02
2006-04-19 -1.633996e-02
2006-04-20 -1.000150e-02
2006-04-21 -2.042765e-03
2006-04-24 -1.516493e-02
2006-04-25 -3.976724e-02
2006-04-26 7.295632e-02
2006-04-27 -2.355364e-02
2006-04-28 -1.591195e-04
2006-05-02 1.513279e-02
2006-05-03 4.401977e-02
2006-05-04 1.982678e-02
2006-05-05 -2.289792e-02
2006-05-08 -7.831613e-03
2006-05-09 -3.438561e-03
2006-05-10 3.920007e-02
2006-05-11 -3.548198e-02
2006-05-12 2.632046e-03
2006-05-15 -7.721423e-02
2006-05-16 -1.311055e-02
2006-05-17 1.320794e-02
2006-05-18 -1.125835e-01
2006-05-19 -6.063786e-02
2006-05-22 -4.514745e-02
2006-05-23 6.561985e-02
2006-05-24 -4.179560e-02
2006-05-25 -3.314089e-02
2006-05-26 2.828821e-02
2006-05-29 1.121010e-02
2006-05-30 1.915291e-02
2006-05-31 -4.793652e-02
2006-06-01 -8.971995e-02
2006-06-02 2.935846e-02
2006-06-05 6.294677e-03
2006-06-06 -1.383984e-02
2006-06-07 -3.276848e-03
2006-06-08 -4.494195e-02
2006-06-09 4.122078e-02
2006-06-12 -5.881524e-02
2006-06-13 -6.036356e-02
2006-06-14 5.546517e-03
2006-06-15 5.172379e-02
2006-06-16 3.857882e-02
2006-06-19 3.902714e-02
2006-06-20 -4.710145e-02
2006-06-21 4.691397e-02
2006-06-22 2.653826e-02
2006-06-23 -8.509591e-03
2006-06-26 -1.296209e-01
2006-06-27 8.499016e-02
2006-06-28 -2.371610e-02
2006-06-29 1.133826e-01
2006-06-30 6.672213e-02
2006-07-03 -1.449741e-02
2006-07-04 3.284682e-02
2006-07-05 6.941135e-02
2006-07-06 -3.581786e-02
2006-07-07 -2.474580e-02
2006-07-10 -1.778714e-02
2006-07-11 -4.190414e-02
2006-07-12 4.716737e-02
2006-07-13 -2.288552e-02
2006-07-14 -9.156316e-04
2006-07-17 -1.051100e-01
2006-07-18 4.401613e-02
2006-07-19 -4.619984e-02
2006-07-20 7.031040e-02
2006-07-21 -3.614904e-02
2006-07-24 2.535123e-02
2006-07-25 1.496488e-02
2006-07-26 4.166185e-02
2006-07-27 1.560900e-02
2006-07-28 -8.020957e-03
2006-07-31 4.040936e-02
2006-08-01 9.583088e-03
2006-08-02 7.867027e-03
2006-08-03 -2.739812e-03
2006-08-04 2.219128e-02
2006-08-07 -2.312977e-02
2006-08-08 7.530809e-03
2006-08-09 3.759497e-02
2006-08-10 4.993010e-02
2006-08-11 2.969004e-02
2006-08-14 -9.571604e-03
2006-08-16 -2.835628e-02
2006-08-17 1.834012e-02
2006-08-18 -1.662551e-02
2006-08-21 1.139019e-02
2006-08-22 -9.550940e-03
2006-08-23 1.232984e-02
2006-08-24 1.222789e-03
2006-08-25 3.941868e-03
2006-08-28 3.553591e-04
2006-08-29 1.761439e-02
2006-08-30 3.231385e-05
2006-08-31 -2.592620e-02
2006-09-01 9.042003e-03
2006-09-04 3.133915e-02
2006-09-05 -1.096887e-02
2006-09-06 -5.558443e-03
2006-09-07 -1.702234e-02
2006-09-08 -3.414449e-03
2006-09-11 -6.158045e-02
2006-09-12 -3.097963e-03
2006-09-13 3.059872e-02
2006-09-14 7.977268e-03
2006-09-15 -5.981229e-03
2006-09-18 4.033863e-02
2006-09-19 -2.666101e-02
2006-09-20 9.763258e-03
2006-09-21 3.352224e-02
2006-09-22 1.359416e-02
2006-09-25 -2.551676e-02
2006-09-26 2.703116e-02
2006-09-27 1.830485e-02
2006-09-28 -1.076357e-02
2006-09-29 -1.678302e-02
2006-10-03 4.775904e-02
2006-10-04 -1.317110e-02
2006-10-05 -7.225744e-03
2006-10-06 3.271456e-03
2006-10-09 -1.761913e-02
2006-10-10 3.324566e-02
2006-10-11 -1.459435e-02
2006-10-12 1.886865e-02
2006-10-13 5.659126e-02
2006-10-16 -1.164875e-02
2006-10-17 1.910009e-03
2006-10-18 -1.499352e-02
2006-10-19 1.023771e-02
2006-10-20 -1.379976e-02
2006-10-23 1.562179e-03
2006-10-26 2.361318e-02
2006-10-27 -4.913201e-02
2006-10-30 1.624377e-02
2006-10-31 -6.080507e-03
2006-11-01 -4.064872e-04
2006-11-02 2.650924e-03
2006-11-03 3.977865e-03
2006-11-06 2.410128e-03
2006-11-07 3.435247e-02
2006-11-08 2.396368e-02
2006-11-09 8.000023e-03
2006-11-10 1.791637e-02
2006-11-13 -7.144974e-03
2006-11-14 -1.682717e-02
2006-11-15 5.755349e-04
2006-11-16 -4.990098e-03
2006-11-17 -5.200259e-03
2006-11-20 -4.285517e-03
2006-11-21 4.117193e-02
2006-11-22 2.260540e-02
2006-11-23 2.055066e-02
2006-11-24 -1.149137e-02
2006-11-27 -1.070899e-02
2006-11-28 -8.066258e-03
2006-11-29 -1.713052e-03
2006-11-30 5.610429e-03
2006-12-01 1.105043e-02
2006-12-04 -8.227459e-03
2006-12-05 -1.700798e-02
2006-12-06 -4.295264e-02
2006-12-07 -1.102712e-02
2006-12-08 -2.007641e-03
2006-12-11 -3.093665e-02
2006-12-12 -5.866748e-02
2006-12-13 5.221259e-02
2006-12-14 1.161039e-02
2006-12-15 -7.282814e-03
2006-12-18 -1.369241e-03
2006-12-19 -1.665288e-02
2006-12-20 -3.152875e-02
2006-12-21 -8.560510e-03
2006-12-22 2.766449e-02
2006-12-26 2.365604e-02
2006-12-27 2.248401e-02
2006-12-28 -1.505571e-02
2006-12-29 3.774370e-03
2007-01-02 -2.635299e-03
2007-01-03 -4.805955e-03
2007-01-04 3.983255e-03
2007-01-05 -3.808665e-03
2007-01-08 -3.671227e-03
2007-01-09 -2.930936e-02
2007-01-10 -4.074714e-02
2007-01-11 3.185607e-02
2007-01-12 4.667407e-03
2007-01-15 2.175724e-02
2007-01-16 3.899791e-02
2007-01-17 -2.390332e-02
2007-01-18 -3.296106e-03
2007-01-19 -1.728217e-02
2007-01-22 2.494410e-02
2007-01-23 -9.748776e-03
2007-01-24 -2.577178e-03
2007-01-25 7.580702e-03
2007-01-29 -6.354054e-02
2007-01-31 -5.323073e-02
2007-02-01 2.844216e-02
2007-02-02 3.731861e-02
2007-02-05 3.203887e-02
2007-02-06 2.049431e-02
2007-02-07 -1.443143e-02
2007-02-08 -1.001156e-02
2007-02-09 -5.249972e-03
2007-02-12 -1.417255e-01
2007-02-13 1.760704e-02
2007-02-14 -2.527493e-02
2007-02-15 -2.753429e-02
2007-02-19 -9.978841e-03
2007-02-20 -4.454708e-02
2007-02-21 3.754849e-02
2007-02-22 1.736248e-02
2007-02-23 7.962138e-03
2007-02-26 7.780531e-04
2007-02-27 2.825440e-03
2007-02-28 -8.010905e-03
2007-03-01 2.629811e-02
2007-03-02 -1.586172e-02
2007-03-05 -6.518147e-02
2007-03-06 2.376183e-02
2007-03-07 2.965022e-02
2007-03-08 9.642697e-03
2007-03-09 -3.118918e-02
2007-03-12 2.307277e-02
2007-03-13 4.908589e-02
2007-03-14 -4.363670e-02
2007-03-15 -2.708365e-02
2007-03-16 -5.101336e-02
2007-03-19 1.709823e-02
2007-03-20 1.114272e-02
2007-03-21 3.718607e-03
2007-03-22 1.412097e-02
2007-03-23 -5.768720e-03
2007-03-26 -2.082349e-02
2007-03-28 -1.754239e-02
2007-03-29 2.184425e-02
2007-03-30 1.705976e-02
2007-04-02 -4.992506e-02
2007-04-03 7.928318e-03
2007-04-04 -1.637779e-03
2007-04-05 1.171478e-02
2007-04-09 2.002700e-02
2007-04-10 5.496404e-03
2007-04-11 6.201901e-02
2007-04-12 -4.969040e-03
2007-04-13 4.976690e-02
2007-04-16 7.444299e-02
2007-04-17 -3.685840e-02
2007-04-18 3.127665e-02
2007-04-19 5.761497e-05
2007-04-20 8.960017e-03
2007-04-23 -3.831529e-02
2007-04-24 2.062456e-02
2007-04-25 1.803972e-02
2007-04-26 2.935883e-02
2007-04-27 -3.260979e-02
2007-04-30 2.883776e-03
2007-05-03 1.324000e-02
2007-05-04 -4.228227e-03
2007-05-07 7.926729e-03
2007-05-08 3.045609e-03
2007-05-09 3.261141e-02
2007-05-10 5.785583e-03
2007-05-11 -1.800568e-02
2007-05-14 1.520916e-02
2007-05-15 -9.516543e-02
2007-05-16 -2.817866e-03
2007-05-17 2.775216e-03
2007-05-18 -3.836284e-03
2007-05-21 1.323916e-03
2007-05-22 1.612000e-02
2007-05-23 3.996825e-03
2007-05-24 -2.098797e-04
2007-05-25 1.763724e-01
2007-05-28 -6.840949e-02
2007-05-29 1.008011e-02
2007-05-30 -7.848040e-03
2007-05-31 2.415475e-03
2007-06-01 -3.021590e-05
2007-06-04 1.443630e-03
2007-06-05 4.871210e-02
2007-06-06 -3.173116e-02
2007-06-07 4.686277e-02
2007-06-08 -2.277174e-02
2007-06-11 4.153065e-03
2007-06-12 -1.652574e-02
2007-06-13 -2.163031e-02
2007-06-14 1.392963e-02
2007-06-15 5.540325e-02
2007-06-18 -2.404740e-02
2007-06-19 2.476834e-02
2007-06-20 -3.214403e-03
2007-06-21 -4.062905e-03
2007-06-22 1.885169e-03
2007-06-25 -1.139168e-02
2007-06-26 5.302694e-02
2007-06-27 6.470427e-02
2007-06-28 -2.722023e-02
2007-06-29 4.450819e-03
2007-07-02 -4.060801e-03
2007-07-03 9.124868e-03
2007-07-04 -1.551199e-02
2007-07-05 -1.480693e-02
2007-07-06 2.930848e-02
2007-07-09 4.459378e-03
2007-07-10 -4.030226e-02
2007-07-11 3.852039e-03
2007-07-12 1.028218e-02
2007-07-13 6.593757e-03
2007-07-16 -6.244818e-03
2007-07-17 4.930980e-03
2007-07-18 6.297981e-03
2007-07-19 2.119703e-03
2007-07-20 1.477513e-02
2007-07-23 1.954576e-02
2007-07-24 -2.105152e-02
2007-07-25 -6.678269e-02
2007-07-26 -7.477115e-02
2007-07-27 6.186416e-03
2007-07-30 -4.396835e-02
2007-07-31 1.629663e-02
2007-08-01 -5.508570e-02
2007-08-02 2.333404e-02
2007-08-03 1.070602e-02
2007-08-06 -3.785294e-02
2007-08-07 4.233951e-02
2007-08-08 2.309912e-02
2007-08-09 -9.089353e-03
2007-08-10 2.535336e-02
2007-08-13 4.860972e-03
2007-08-14 -3.296784e-03
2007-08-16 -7.494866e-02
2007-08-17 -2.344970e-02
2007-08-20 1.023206e-01
2007-08-21 -5.402527e-02
2007-08-22 4.446350e-02
2007-08-23 -2.377877e-02
2007-08-24 -2.124208e-02
2007-08-27 3.394018e-02
2007-08-28 -2.529035e-02
2007-08-29 -8.436596e-03
2007-08-30 1.994289e-02
2007-08-31 1.075928e-02
2007-09-03 -4.473728e-03
2007-09-04 -3.222030e-03
2007-09-05 2.917794e-02
2007-09-06 8.607023e-03
2007-09-07 -1.402611e-02
2007-09-10 -3.544939e-03
2007-09-11 3.701969e-02
2007-09-12 7.420635e-03
2007-09-13 3.613296e-02
2007-09-14 -7.326132e-03
2007-09-17 1.589007e-02
2007-09-18 3.015983e-02
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2009-11-09 1.150280e-03
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2009-11-11 4.032638e-02
2009-11-12 2.519725e-02
2009-11-13 -3.928550e-02
[ reached getOption("max.print") -- omitted 2469 rows ]
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