應用統計子主題D

rm(list=ls(all=TRUE))

library(quantmod)

# 設定起始日期和結束日期
start_date <- "2010-01-01"
end_date <- Sys.Date()
ticker = "2330.TW"

# 從 quantmod 庫中獲取台積電的收盤價，並將名稱改為 "TSMC"
data1=getSymbols(ticker, 
           from = start_date,
           to = end_date,
           src="yahoo",
           auto.assign=F )

colnames(data1) = c("Open", "High", "Low", "Close", "Volume1", "Adjusted")


# 獲取台灣加權股價指數的收盤價
data2=getSymbols("^TWII", 
           from = start_date, 
           to = end_date,
           src="yahoo",
           auto.assign=F)

colnames(data2) = c("Open", "High", "Low", "Close", "Volume2", "Adjusted")

TaiwanStock <- merge(Ad(data1), Ad(data2))

TaiwanStock = na.omit(TaiwanStock)

# 計算移動相關係數的視窗大小
window_size <- 120

# 創建一個空的資料框來存儲移動相關係數
corr_values <- data.frame(Date = index(TaiwanStock), Correlation = rep(NA, nrow(TaiwanStock)))

# 計算移動相關係數
for (i in window_size:nrow(TaiwanStock)) {
  corr_values$Correlation[i] <- cor(TaiwanStock[(i - window_size + 1):i, 1],
                                    TaiwanStock[(i - window_size + 1):i, 2])
}

corr_values = na.omit(corr_values)

library(xts)

# 提取第一行作為時間索引
index <- as.POSIXct(as.character(corr_values[,1 ]))

# 刪除第一行
corr_values <- corr_values[, -1]

# 將 data.frame 轉換為 xts
data_xts <- xts(corr_values, order.by = index)

# 繪製走勢圖
library(dygraphs)

# 將 xts 物件轉換為 data.frame
data_df <- as.data.frame(data_xts)


# 使用 dygraph 函數並指定 data 參數

# 繪製台積電和台灣加權股價指數的蠟燭圖和滾動相關係數圖
fig1 <- dygraph(OHLC(data1), main = "TSMC Candlestick Chart") %>%
  dyCandlestick() %>%
  dyOptions(colors = c("black", "red", "blue"))

fig2 <- dygraph(OHLC(data2), main = "TWII Candlestick Chart") %>%
  dyCandlestick() %>%
  dyOptions(colors = c("black", "red", "blue"))

fig3 <- dygraph(data_df, xlab = "Date", ylab = "Rolling Correlation") %>%
  dySeries("V1", label = "Rolling Correlation",axis="y") %>%
  dyOptions(colors = c("#008")) %>%
  dyRangeSelector()