garch
gladys
2024-04-03
nyabs=read.csv("ACTUARIAL.CSV");nyabs## TIME CPI PENSION Year Month INFLATION CLAIMS
## 1 2007-01 6.12 13.50 2018 November 5.58 4.59
## 2 2007-02 6.33 13.59 2018 October 5.53 4.53
## 3 2007-03 6.47 13.49 2018 September 5.70 4.53
## 4 2007-04 6.48 13.47 2018 August 4.04 4.63
## 5 2007-05 6.51 13.70 2018 July 4.35 4.95
## 6 2007-06 6.56 13.73 2018 June 4.28 5.20
## 7 2007-07 6.57 13.71 2018 May 3.95 5.61
## 8 2007-08 6.64 13.83 2018 April 3.73 6.24
## 9 2007-09 6.66 13.85 2018 March 4.18 6.89
## 10 2007-10 6.68 13.76 2018 February 4.46 7.40
## 11 2007-11 6.68 13.66 2018 January 4.83 7.79
## 12 2007-12 6.81 13.65 2017 December 4.50 7.98
## 13 2008-01 7.06 13.61 2017 November 4.73 8.15
## 14 2008-02 7.16 13.61 2017 October 5.72 8.33
## 15 2008-03 7.19 13.81 2017 September 7.06 8.40
## 16 2008-04 7.19 14.23 2017 August 8.04 8.36
## 17 2008-05 7.20 14.29 2017 July 7.47 8.21
## 18 2008-06 7.25 14.39 2017 June 9.21 8.13
## 19 2008-07 7.23 14.24 2017 May 11.70 7.84
## 20 2008-08 7.25 14.25 2017 April 11.48 7.20
## 21 2008-09 7.27 14.45 2017 March 10.28 6.76
## 22 2008-10 7.33 15.32 2017 February 9.04 6.43
## 23 2008-11 7.36 15.49 2017 January 6.99 6.26
## 24 2008-12 7.46 17.28 2016 December 6.35 6.30
## 25 2009-01 7.62 18.47 2016 November 6.68 6.43
## 26 2009-02 7.72 22.51 2016 October 6.47 6.48
## 27 2009-03 7.75 23.03 2016 September 6.34 6.50
## 28 2009-04 7.77 23.04 2016 August 6.26 6.47
## 29 2009-05 7.78 23.43 2016 July 6.40 6.44
## 30 2009-06 7.86 22.36 2016 June 5.80 6.46
## 31 2009-07 7.87 23.27 2016 May 5.00 6.59
## 32 2009-08 7.88 20.84 2016 April 5.27 6.72
## 33 2009-09 7.95 19.98 2016 March 6.45 6.88
## 34 2009-10 8.02 18.61 2016 February 6.84 6.87
## 35 2009-11 8.06 17.76 2016 January 7.78 6.77
## 36 2009-12 8.21 17.42 2015 December 8.01 6.58
## 37 2010-01 8.41 16.69 2015 November 7.32 6.42
## 38 2010-02 8.43 16.67 2015 October 6.72 6.31
## 39 2010-03 8.60 16.76 2015 September 5.97 6.29
## 40 2010-04 8.66 15.11 2015 August 5.84 6.34
## 41 2010-05 8.69 14.05 2015 July 6.62 6.54
## 42 2010-06 8.83 13.05 2015 June 7.03 6.63
## 43 2010-07 8.84 12.20 2015 May 6.87 6.65
## 44 2010-08 8.96 12.08 2015 April 7.08 6.69
## 45 2010-09 9.13 11.30 2015 March 6.31 6.63
## 46 2010-10 9.16 10.83 2015 February 5.61 6.63
## 47 2010-11 9.19 9.81 2015 January 5.53 6.74
## 48 2010-12 9.28 10.13 2014 December 6.02 6.88
## 49 2011-01 9.57 10.32 2014 November 6.09 6.97
## 50 2011-02 9.60 11.90 2014 October 6.43 7.08
## 51 2011-03 9.76 11.80 2014 September 6.60 7.19
## 52 2011-04 9.85 11.97 2014 August 8.36 7.33
## 53 2011-05 9.92 12.46 2014 July 7.67 7.19
## 54 2011-06 10.06 12.77 2014 June 7.39 7.05
## 55 2011-07 10.16 13.33 2014 May 7.30 6.85
## 56 2011-08 10.11 13.62 2014 April 6.41 6.58
## 57 2011-09 10.23 13.89 2014 March 6.27 6.39
## 58 2011-10 10.28 14.23 2014 February 6.86 6.21
## 59 2011-11 10.34 14.19 2014 January 7.21 6.01
## 60 2011-12 10.54 14.17 2013 December 7.15 5.72
## 61 2012-01 10.92 14.05 2013 November 7.36 5.39
## 62 2012-02 10.96 13.90 2013 October 7.76 5.05
## 63 2012-03 11.17 14.28 2013 September 8.29 4.75
## 64 2012-04 11.32 14.19 2013 August 6.67 4.50
## 65 2012-05 11.28 14.29 2013 July 6.03 4.44
## 66 2012-06 11.43 14.65 2013 June 4.91 4.56
## 67 2012-07 11.46 14.54 2013 May 4.05 4.96
## 68 2012-08 11.49 14.47 2013 April 4.14 5.61
## 69 2012-09 11.77 14.33 2013 March 4.11 6.33
## 70 2012-10 12.18 14.24 2013 February 4.45 7.24
## 71 2012-11 12.47 14.95 2013 January 3.67 8.20
## 72 2012-12 12.79 13.89 2012 December 3.20 9.38
## 73 2013-01 12.73 14.11 2012 November 3.25 10.67
## 74 2013-02 13.07 14.06 2012 October 4.14 12.04
## 75 2013-03 13.31 14.53 2012 September 5.32 13.29
## 76 2013-04 13.32 15.21 2012 August 6.09 14.33
## 77 2013-05 13.67 15.88 2012 July 7.74 15.27
## 78 2013-06 13.79 16.02 2012 June 10.05 15.97
## 79 2013-07 13.96 15.94 2012 May 12.22 16.40
## 80 2013-08 14.01 15.88 2012 April 13.06 16.50
## 81 2013-09 14.38 15.89 2012 March 15.61 16.45
## 82 2013-10 14.40 18.37 2012 February 16.69 15.93
## 83 2013-11 14.48 17.85 2012 January 18.31 15.10
## 84 2013-12 14.56 16.87 2011 December 18.93 14.02
## 85 2014-01 14.83 16.67 2011 November 19.72 12.82
## 86 2014-02 14.97 16.35 2011 October 18.91 11.49
## 87 2014-03 16.27 15.96 2011 September 17.32 10.18
## 88 2014-04 16.40 15.39 2011 August 16.67 9.00
## 89 2014-05 16.94 14.67 2011 July 15.53 7.88
## 90 2014-06 18.68 12.99 2011 June 14.48 6.88
## 91 2014-07 18.46 11.25 2011 May 12.95 5.96
## 92 2014-08 18.54 9.66 2011 April 12.05 5.20
## 93 2014-09 18.85 8.93 2011 March 9.19 4.49
## 94 2014-10 18.62 8.18 2011 February 6.54 4.05
## 95 2014-11 18.92 7.55 2011 January 5.42 3.93
## 96 2014-12 19.46 7.83 2010 December 4.51 3.96
## 97 2015-01 19.59 7.65 2010 November 3.84 4.02
## 98 2015-02 21.16 7.79 2010 October 3.18 4.12
## 99 2015-03 21.83 8.44 2010 September 3.21 4.40
## 100 2015-04 23.31 9.10 2010 August 3.22 4.69
## 101 2015-05 24.16 9.48 2010 July 3.57 5.03
## 102 2015-06 25.99 9.74 2010 June 3.49 5.43
## 103 2015-07 26.47 10.38 2010 May 3.88 5.85
## 104 2015-08 27.38 9.17 2010 April 3.66 6.32
## 105 2015-09 29.02 8.01 2010 March 3.97 7.03
## 106 2015-10 29.32 7.61 2010 February 5.18 7.88
## 107 2015-11 29.63 7.21 2010 January 5.95 8.64
## 108 2015-12 30.11 7.01 2009 December 5.32 9.24
## 109 2016-01 31.64 6.67 2009 November 5.00 10.24
## 110 2016-02 32.65 6.26 2009 October 6.62 11.42
## 111 2016-03 33.54 6.22 2009 September 6.74 12.41
## 112 2016-04 34.44 6.22 2009 August 7.36 13.42
## 113 2016-05 34.09 6.20 2009 July 8.44 14.35
## 114 2016-06 33.46 6.22 2009 June 8.60 15.11
## 115 2016-07 33.70 6.54 2009 May 9.61 15.93
## 116 2016-08 33.26 6.55 2009 April 12.42 16.72
## 117 2016-09 32.75 6.92 2009 March 14.60 17.07
## 118 2016-10 32.92 6.58 2009 February 14.69 16.87
## 119 2016-11 32.12 6.44 2009 January 13.22 16.56
## 120 2016-12 32.10 6.36 2008 December 17.83 16.27
## 121 2017-01 32.77 6.22 2008 November 19.54 15.25
## 122 2017-02 33.11 6.24 2008 October 18.74 14.13
## 123 2017-03 33.31 6.27 2008 September 18.73 13.02
## 124 2017-04 33.18 6.21 2008 August 18.33 11.92
## 125 2017-05 33.46 5.87 2008 July 17.12 10.83
## 126 2017-06 33.51 5.70 2008 June 17.87 9.86
## 127 2017-07 33.52 5.72 2008 May 18.61 8.70
## 128 2017-08 33.70 5.52 2008 April 16.12 7.32
## 129 2017-09 34.06 5.42 2008 March 11.90 6.13
## 130 2017-10 34.00 5.48 2008 February 10.58 5.32
## 131 2017-11 33.90 5.31 2008 January 9.40 4.69
## 132 2017-12 34.31 5.21 2007 December 5.70 4.27
## 133 2018-01 34.71 5.08 2007 November 6.08 4.45
## 134 2018-02 34.88 4.99 2007 October 5.38 4.48
## 135 2018-03 35.44 4.80 2007 September 5.53 4.57
## 136 2018-04 35.56 4.66 2007 August 5.30 4.60
## 137 2018-05 35.80 4.75 2007 July 5.48 4.57
## 138 2018-06 36.73 4.75 2007 June 4.07 4.46
## 139 2018-06 37.23 4.68 2007 May 1.96 4.47
## 140 NA NA 2007 April 1.85 4.69
## 141 NA NA 2007 March 2.19 4.99
## 142 NA NA 2007 February 3.02 5.55
## 143 NA NA 2007 January 4.63 6.08
## 144 NA NA 2006 December 7.98 6.39
## 145 NA NA 2006 November 6.64 6.12
## 146 NA NA 2006 October 6.55 5.94
## 147 NA NA 2006 September 5.93 5.70
## 148 NA NA 2006 August 4.92 5.57
## 149 NA NA 2006 July 4.16 5.73
## 150 NA NA 2006 June 4.28 6.33
## 151 NA NA 2006 May 4.47 6.95
## 152 NA NA 2006 April 5.44 7.77
## 153 NA NA 2006 March 8.85 8.61
## 154 NA NA 2006 February 9.39 9.01
## 155 NA NA 2006 January 8.39 9.36
## 156 NA NA 2005 December 4.70 9.87
## 157 NA NA 2005 November 4.40 10.89
## 158 NA NA 2005 October 3.72 11.99
## 159 NA NA 2005 September 4.27 13.24
## 160 NA NA 2005 August 6.87 14.53
## 161 NA NA 2005 July 11.76 15.34
## 162 NA NA 2005 June 11.92 15.10
## 163 NA NA 2005 May 14.78 14.61
## 164 NA NA 2005 April 16.02 13.76
## 165 NA NA 2005 March 14.15 13.07
## 166 NA NA 2005 February 13.94 12.60
## 167 NA NA 2005 January 14.87 12.27myd=nyabs$INFLATION;myd## [1] 5.58 5.53 5.70 4.04 4.35 4.28 3.95 3.73 4.18 4.46 4.83 4.50
## [13] 4.73 5.72 7.06 8.04 7.47 9.21 11.70 11.48 10.28 9.04 6.99 6.35
## [25] 6.68 6.47 6.34 6.26 6.40 5.80 5.00 5.27 6.45 6.84 7.78 8.01
## [37] 7.32 6.72 5.97 5.84 6.62 7.03 6.87 7.08 6.31 5.61 5.53 6.02
## [49] 6.09 6.43 6.60 8.36 7.67 7.39 7.30 6.41 6.27 6.86 7.21 7.15
## [61] 7.36 7.76 8.29 6.67 6.03 4.91 4.05 4.14 4.11 4.45 3.67 3.20
## [73] 3.25 4.14 5.32 6.09 7.74 10.05 12.22 13.06 15.61 16.69 18.31 18.93
## [85] 19.72 18.91 17.32 16.67 15.53 14.48 12.95 12.05 9.19 6.54 5.42 4.51
## [97] 3.84 3.18 3.21 3.22 3.57 3.49 3.88 3.66 3.97 5.18 5.95 5.32
## [109] 5.00 6.62 6.74 7.36 8.44 8.60 9.61 12.42 14.60 14.69 13.22 17.83
## [121] 19.54 18.74 18.73 18.33 17.12 17.87 18.61 16.12 11.90 10.58 9.40 5.70
## [133] 6.08 5.38 5.53 5.30 5.48 4.07 1.96 1.85 2.19 3.02 4.63 7.98
## [145] 6.64 6.55 5.93 4.92 4.16 4.28 4.47 5.44 8.85 9.39 8.39 4.70
## [157] 4.40 3.72 4.27 6.87 11.76 11.92 14.78 16.02 14.15 13.94 14.87library(fGarch)## Warning: package 'fGarch' was built under R version 4.3.3## NOTE: Packages 'fBasics', 'timeDate', and 'timeSeries' are no longer
## attached to the search() path when 'fGarch' is attached.
##
## If needed attach them yourself in your R script by e.g.,
## require("timeSeries")log.INT=diff(myd);log.INT## [1] -0.05 0.17 -1.66 0.31 -0.07 -0.33 -0.22 0.45 0.28 0.37 -0.33 0.23
## [13] 0.99 1.34 0.98 -0.57 1.74 2.49 -0.22 -1.20 -1.24 -2.05 -0.64 0.33
## [25] -0.21 -0.13 -0.08 0.14 -0.60 -0.80 0.27 1.18 0.39 0.94 0.23 -0.69
## [37] -0.60 -0.75 -0.13 0.78 0.41 -0.16 0.21 -0.77 -0.70 -0.08 0.49 0.07
## [49] 0.34 0.17 1.76 -0.69 -0.28 -0.09 -0.89 -0.14 0.59 0.35 -0.06 0.21
## [61] 0.40 0.53 -1.62 -0.64 -1.12 -0.86 0.09 -0.03 0.34 -0.78 -0.47 0.05
## [73] 0.89 1.18 0.77 1.65 2.31 2.17 0.84 2.55 1.08 1.62 0.62 0.79
## [85] -0.81 -1.59 -0.65 -1.14 -1.05 -1.53 -0.90 -2.86 -2.65 -1.12 -0.91 -0.67
## [97] -0.66 0.03 0.01 0.35 -0.08 0.39 -0.22 0.31 1.21 0.77 -0.63 -0.32
## [109] 1.62 0.12 0.62 1.08 0.16 1.01 2.81 2.18 0.09 -1.47 4.61 1.71
## [121] -0.80 -0.01 -0.40 -1.21 0.75 0.74 -2.49 -4.22 -1.32 -1.18 -3.70 0.38
## [133] -0.70 0.15 -0.23 0.18 -1.41 -2.11 -0.11 0.34 0.83 1.61 3.35 -1.34
## [145] -0.09 -0.62 -1.01 -0.76 0.12 0.19 0.97 3.41 0.54 -1.00 -3.69 -0.30
## [157] -0.68 0.55 2.60 4.89 0.16 2.86 1.24 -1.87 -0.21 0.93ts.plot(log.INT)
summary(log.INT)## Min. 1st Qu. Median Mean 3rd Qu. Max.
## -4.22000 -0.68750 0.04000 0.05596 0.62000 4.89000R Markdown
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