Practice of Analysis of Financial Time Series

YIK LUN, KEI

allen29@ucla.edu
This paper is a practice from the book called Analysis of Financial Time Series
by Ruey S. Tsay. All R codes and comments below are belonged to the book
and author.
suppressPackageStartupMessages(require(quantmod))
options("getSymbols.warning4.0"=FALSE)
getSymbols("AAPL",src="yahoo")

## [1] "AAPL"
chartSeries(AAPL,theme="white")

AAPL

[20070103/20150820]
700

Last 112.650002

600
500
400
300
200
100
800
600
400
200
0

Volume (millions):
67,765,500

Jan 03
2007

Jul 01
2008

Jan 04
2010

Jul 01
2011

Jan 02
2013

AAPL.rtn=diff(log(AAPL$AAPL.Adjusted)) # Compute log returns

chartSeries(AAPL.rtn,theme="white")

Jul 01
2014

AAPL.rtn

[20070104/20150820]

Last 0.0207334138619233
0.10
0.05
0.00
0.05
0.10
0.15
0.20
Jan 04
2007

Jul 01
2008

Jan 04
2010

Jul 01
2011

getSymbols("UNRATE",src="FRED")

## [1] "UNRATE"
chartSeries(UNRATE,theme="white")

Jan 02
2013

Jul 01
2014

UNRATE

[19480101/20150701]

Last 5.3
10

Jan
1948

Jan
1960

Jan
1970

Jan
1980

getSymbols("INTC",src="google")

## [1] "INTC"
chartSeries(INTC,theme="white")

Jan
1990

Jan
2000

Jan
2010

INTC

[20070103/20150820]

Last 27.53
35
30
25
20
15
300
250
200
150
100
50
0

Volume (millions):
31,936,568

Jan 03
2007

Jul 01
2008

Jan 04
2010

Jul 01
2011

getSymbols("^TNX")

## [1] "TNX"
chartSeries(TNX,theme="white",TA=NULL)

Jan 02
2013

Jul 01
2014

TNX

[20070103/20150820]
5

Jan 03
2007

Jul 01
2008

Jan 04
2010

Jul 01
2011

TNX.rtn=diff(TNX$TNX.Adjusted) # Compute changes

chartSeries(TNX.rtn,theme="white")

Jan 02
2013

Jul 01
2014

TNX.rtn

[20070104/20150820]

Last 0.0449999999999999
0.2

0.0

0.2

0.4

Jan 04
2007

Jul 01
2008

Jan 04
2010

Jul 01
2011

getSymbols("DEXUSEU",src="FRED")

## [1] "DEXUSEU"
chartSeries(DEXUSEU,theme="white")

Jan 02
2013

Jul 01
2014

DEXUSEU

[19990104/20150814]
1.6

Last 1.111

1.4

1.2

1.0

0.8
Jan 04
1999

Jan 02
2002

Jan 03
2005

Jan 02
2008

USEU.rtn=diff(log(DEXUSEU$DEXUSEU))
chartSeries(USEU.rtn,theme="white")

Jan 03
2011

Jan 02
2014

USEU.rtn

[19990105/20150814]

Last 0.00305563282596601
0.04

0.02

0.00

0.02

Jan 05
1999

Jan 03
2002

Jan 03
2005

Jan 03
2008

getSymbols("BABA",src="yahoo")

## [1] "BABA"
chartSeries(BABA,theme="white")

Jan 04
2011

Jan 03
2014

BABA

[20140919/20150820]
120

Last 70.32

110
100
90
80
70
250
200
150
100
50
0

Volume (millions):
20,938,500

Sep 19
2014

Dec 01
2014

Feb 02
2015

Apr 01
2015

BABA.rtn=diff(log(BABA$BABA.Adjusted))
chartSeries(BABA.rtn,theme="white")

Jun 01
2015

Aug 03
2015

BABA.rtn

[20140922/20150820]

Last 0.0390457147974193
0.05

0.00

0.05

Sep 22
2014

Dec 01
2014

Feb 02
2015

Apr 01
2015

Jun 01
2015

Aug 03
2015

Reference:
Tsay, Ruey S. Analysis of financial time series. Vol. 543. John
Wiley & Sons, 2005.

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