library("Quandl")
## Loading required package: xts
## Loading required package: zoo
##
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
rcpg <-Quandl("FRED/WCOILBRENTEU",type="zoo")
plot(rcpg)
str(rcpg)
## 'zoo' series from 1987-05-15 to 2016-02-19
## Data: num [1:1502] 18.6 18.5 18.6 18.7 18.8 ...
## Index: Date[1:1502], format: "1987-05-15" "1987-05-22" "1987-05-29" "1987-06-05" ...
# transformed data
g=log(rcpg)
Y=diff(g)
Y
## 1987-05-22 1987-05-29 1987-06-05 1987-06-12 1987-06-19
## -2.155173e-03 3.231021e-03 5.361943e-03 2.670229e-03 1.377140e-02
## 1987-06-26 1987-07-03 1987-07-10 1987-07-17 1987-07-24
## -5.274274e-03 1.313389e-02 2.117301e-02 3.168482e-02 -4.951721e-04
## 1987-07-31 1987-08-07 1987-08-14 1987-08-21 1987-08-28
## -1.647977e-02 1.499278e-02 -3.791205e-02 -4.801767e-02 -3.185332e-02
## 1987-09-04 1987-09-11 1987-09-18 1987-09-25 1987-10-02
## 2.371217e-02 -2.315429e-02 2.533175e-02 5.963693e-03 3.237995e-03
## 1987-10-09 1987-10-16 1987-10-23 1987-10-30 1987-11-06
## 4.301082e-03 2.678812e-03 1.539717e-02 -1.006098e-02 -3.465425e-02
## 1987-11-13 1987-11-20 1987-11-27 1987-12-04 1987-12-11
## -2.284858e-02 -1.533685e-02 1.758911e-02 1.124227e-03 -1.073153e-02
## 1987-12-18 1987-12-25 1988-01-01 1988-01-08 1988-01-15
## -1.015191e-01 4.305708e-02 4.990763e-02 -5.729018e-04 -5.962226e-02
## 1988-01-22 1988-01-29 1988-02-05 1988-02-12 1988-02-19
## 2.818777e-02 -4.042783e-02 -6.176672e-03 2.475249e-03 -3.394418e-02
## 1988-02-26 1988-03-04 1988-03-11 1988-03-18 1988-03-25
## -3.117135e-02 -6.965272e-02 4.938282e-03 1.882244e-02 6.029958e-02
## 1988-04-01 1988-04-08 1988-04-15 1988-04-22 1988-04-29
## 1.612418e-02 -8.997490e-03 6.619145e-02 3.210740e-02 -2.929976e-03
## 1988-05-06 1988-05-13 1988-05-20 1988-05-27 1988-06-03
## -5.302447e-02 1.778642e-02 6.077180e-04 -1.407181e-02 4.917035e-03
## 1988-06-10 1988-06-17 1988-06-24 1988-07-01 1988-07-08
## -8.002505e-03 -3.650500e-02 -3.323864e-02 -4.057352e-02 8.931698e-03
## 1988-07-15 1988-07-22 1988-07-29 1988-08-05 1988-08-12
## -2.774103e-02 7.776813e-02 1.613459e-02 -3.650992e-02 1.056813e-02
## 1988-08-19 1988-08-26 1988-09-02 1988-09-09 1988-09-16
## -2.730772e-02 -3.381809e-03 -3.166128e-02 -6.874315e-02 0.000000e+00
## 1988-09-23 1988-09-30 1988-10-07 1988-10-14 1988-10-21
## -1.966780e-02 -4.053556e-02 -9.594682e-02 9.435446e-02 6.254450e-02
## 1988-10-28 1988-11-04 1988-11-11 1988-11-18 1988-11-25
## -8.592324e-02 1.778543e-02 2.687909e-02 -1.969343e-02 5.645101e-02
## 1988-12-02 1988-12-09 1988-12-16 1988-12-23 1988-12-30
## 9.394219e-02 1.021459e-02 4.114714e-02 -4.561754e-03 5.155453e-02
## 1989-01-06 1989-01-13 1989-01-20 1989-01-27 1989-02-03
## 2.873937e-02 2.323608e-02 5.276453e-02 -3.236161e-02 -3.882841e-02
## 1989-02-10 1989-02-17 1989-02-24 1989-03-03 1989-03-10
## -6.016865e-03 1.853566e-02 1.528542e-02 1.735151e-02 1.196936e-02
## 1989-03-17 1989-03-24 1989-03-31 1989-04-07 1989-04-14
## 6.365286e-02 4.063059e-02 1.620289e-02 -1.773545e-02 1.219527e-02
## 1989-04-21 1989-04-28 1989-05-05 1989-05-12 1989-05-19
## 6.311706e-02 -1.192478e-02 -7.780593e-02 -1.252626e-02 -7.380107e-03
## 1989-05-26 1989-06-02 1989-06-09 1989-06-16 1989-06-23
## -5.884050e-02 1.282426e-02 7.726308e-03 -7.355837e-02 1.991864e-02
## 1989-06-30 1989-07-07 1989-07-14 1989-07-21 1989-07-28
## 5.308982e-02 1.094103e-02 -3.656917e-02 1.289617e-02 -7.218140e-02
## 1989-08-04 1989-08-11 1989-08-18 1989-08-25 1989-09-01
## -2.793138e-02 1.830435e-02 2.330551e-02 5.301927e-03 7.609050e-03
## 1989-09-08 1989-09-15 1989-09-22 1989-09-29 1989-10-06
## 2.930402e-02 1.573066e-02 -6.150425e-03 -6.188487e-03 4.792986e-02
## 1989-10-13 1989-10-20 1989-10-27 1989-11-03 1989-11-10
## 1.653812e-02 2.456356e-02 -3.253173e-02 1.692267e-02 -7.368454e-03
## 1989-11-17 1989-11-24 1989-12-01 1989-12-08 1989-12-15
## -1.115549e-02 -6.968669e-03 -9.729806e-03 4.409745e-02 1.955801e-02
## 1989-12-22 1989-12-29 1990-01-05 1990-01-12 1990-01-19
## 3.012276e-02 3.451132e-02 6.653724e-02 -3.179196e-02 -2.902826e-02
## 1990-01-26 1990-02-02 1990-02-09 1990-02-16 1990-02-23
## -2.696360e-02 7.778357e-03 -1.906682e-02 -2.195697e-02 -1.884446e-02
## 1990-03-02 1990-03-09 1990-03-16 1990-03-23 1990-03-30
## -1.450051e-02 -1.207047e-02 -2.838209e-02 -3.313390e-02 1.283142e-02
## 1990-04-06 1990-04-13 1990-04-20 1990-04-27 1990-05-04
## -1.339306e-02 -1.135085e-01 -6.295247e-04 4.734976e-02 -2.925254e-02
## 1990-05-11 1990-05-18 1990-05-25 1990-06-01 1990-06-08
## 1.045842e-02 5.361618e-02 -6.717153e-02 -3.600010e-02 -4.068803e-02
## 1990-06-15 1990-06-22 1990-06-29 1990-07-06 1990-07-13
## 5.344034e-03 -7.355433e-03 4.076830e-02 -8.411567e-03 2.818893e-02
## 1990-07-20 1990-07-27 1990-08-03 1990-08-10 1990-08-17
## 1.156048e-01 6.217924e-02 1.000583e-01 2.336149e-01 2.911740e-02
## 1990-08-24 1990-08-31 1990-09-07 1990-09-14 1990-09-21
## 1.145893e-01 -9.744500e-02 1.172605e-01 2.916213e-02 1.093824e-01
## 1990-09-28 1990-10-05 1990-10-12 1990-10-19 1990-10-26
## 1.330062e-01 -8.036964e-02 6.753946e-02 -1.043401e-01 -1.692867e-01
## 1990-11-02 1990-11-09 1990-11-16 1990-11-23 1990-11-30
## 1.342249e-01 -2.602807e-02 -5.696885e-02 -3.889818e-02 9.146238e-02
## 1990-12-07 1990-12-14 1990-12-21 1990-12-28 1991-01-04
## -1.339519e-01 -5.747515e-02 -1.399628e-02 -7.254294e-03 -5.230927e-02
## 1991-01-11 1991-01-18 1991-01-25 1991-02-01 1991-02-08
## -2.879576e-02 2.070791e-02 -2.191877e-01 -2.410220e-03 -4.353090e-03
## 1991-02-15 1991-02-22 1991-03-01 1991-03-08 1991-03-15
## -9.252562e-03 -1.199257e-01 2.881417e-02 5.778344e-02 -2.509735e-02
## 1991-03-22 1991-03-29 1991-04-05 1991-04-12 1991-04-19
## -2.521142e-02 -2.804930e-02 -1.821745e-02 6.575644e-02 2.777956e-02
## 1991-04-26 1991-05-03 1991-05-10 1991-05-17 1991-05-24
## -4.067113e-03 4.574341e-03 4.553512e-03 -4.702494e-02 -4.241788e-03
## 1991-05-31 1991-06-07 1991-06-14 1991-06-21 1991-06-28
## 2.653225e-03 -1.710357e-02 -3.790621e-02 1.113597e-02 7.722046e-03
## 1991-07-05 1991-07-12 1991-07-19 1991-07-26 1991-08-02
## 1.904819e-02 3.652166e-02 3.974033e-02 -1.814566e-02 -4.588333e-03
## 1991-08-09 1991-08-16 1991-08-23 1991-08-30 1991-09-06
## -2.558200e-03 -6.682112e-03 3.546471e-02 3.974173e-03 8.393039e-03
## 1991-09-13 1991-09-20 1991-09-27 1991-10-04 1991-10-11
## -1.286510e-02 1.923610e-02 2.270081e-02 2.592651e-02 2.844228e-02
## 1991-10-18 1991-10-25 1991-11-01 1991-11-08 1991-11-15
## 2.853515e-02 -9.273637e-03 -2.197891e-02 5.878380e-03 -3.767097e-02
## 1991-11-22 1991-11-29 1991-12-06 1991-12-13 1991-12-20
## -2.849196e-02 -4.482405e-02 -3.121256e-02 -4.192707e-02 -7.617012e-03
## 1991-12-27 1992-01-03 1992-01-10 1992-01-17 1992-01-24
## -3.218924e-02 2.506397e-02 -2.281045e-02 3.320726e-02 -1.425463e-02
## 1992-01-31 1992-02-07 1992-02-14 1992-02-21 1992-02-28
## 9.343294e-03 1.034023e-02 5.937939e-03 -4.626376e-02 -1.820301e-02
## 1992-03-06 1992-03-13 1992-03-20 1992-03-27 1992-04-03
## -8.069208e-03 6.920443e-03 1.878791e-02 1.127396e-03 4.246571e-02
## 1992-04-10 1992-04-17 1992-04-24 1992-05-01 1992-05-08
## 2.611393e-02 -7.921879e-03 0.000000e+00 2.668220e-02 1.993421e-02
## 1992-05-15 1992-05-22 1992-05-29 1992-06-05 1992-06-12
## 1.517067e-03 -1.527525e-02 5.926554e-02 1.915767e-02 6.148045e-03
## 1992-06-19 1992-06-26 1992-07-03 1992-07-10 1992-07-17
## -2.360162e-03 7.063839e-03 -3.291497e-02 -3.303234e-02 3.502631e-03
## 1992-07-24 1992-07-31 1992-08-07 1992-08-14 1992-08-21
## 1.191672e-02 1.567123e-02 -3.460553e-02 -1.011131e-02 5.573868e-03
## 1992-08-28 1992-09-04 1992-09-11 1992-09-18 1992-09-25
## -8.627305e-03 1.417028e-02 1.891545e-02 8.347704e-03 -4.901971e-03
## 1992-10-02 1992-10-09 1992-10-16 1992-10-23 1992-10-30
## -4.432413e-03 3.449129e-03 2.093043e-02 -1.896483e-02 -4.108794e-02
## 1992-11-06 1992-11-13 1992-11-20 1992-11-27 1992-12-04
## -1.858598e-02 3.121751e-03 1.557228e-03 -8.333382e-03 -2.918753e-02
## 1992-12-11 1992-12-18 1992-12-25 1993-01-01 1993-01-08
## -2.453107e-02 -4.424786e-03 1.047707e-02 -1.994526e-02 -2.035118e-02
## 1993-01-15 1993-01-22 1993-01-29 1993-02-05 1993-02-12
## -2.662194e-02 -4.114023e-03 5.833558e-02 3.171398e-02 -7.021363e-03
## 1993-02-19 1993-02-26 1993-03-05 1993-03-12 1993-03-19
## -2.191869e-02 4.124296e-02 1.791407e-02 -6.811659e-03 -1.910886e-02
## 1993-03-26 1993-04-02 1993-04-09 1993-04-16 1993-04-23
## -1.294516e-02 1.668949e-02 -1.068376e-03 -2.140183e-03 -5.909230e-03
## 1993-04-30 1993-05-07 1993-05-14 1993-05-21 1993-05-28
## 5.909230e-03 1.594083e-02 -1.113184e-02 -3.305638e-02 5.494519e-03
## 1993-06-04 1993-06-11 1993-06-18 1993-06-25 1993-07-02
## 4.919387e-03 -1.538492e-02 -4.241518e-02 -6.374985e-03 -2.911210e-03
## 1993-07-09 1993-07-16 1993-07-23 1993-07-30 1993-08-06
## -2.061929e-02 -8.368250e-03 1.199760e-03 1.605744e-02 -2.086514e-02
## 1993-08-13 1993-08-20 1993-08-27 1993-09-03 1993-09-10
## 6.022283e-04 6.600684e-03 7.745049e-03 -1.917374e-02 -4.643360e-02
## 1993-09-17 1993-09-24 1993-10-01 1993-10-08 1993-10-15
## -1.984065e-02 3.555930e-02 4.214364e-02 1.070801e-02 3.544008e-03
## 1993-10-22 1993-10-29 1993-11-05 1993-11-12 1993-11-19
## -2.085271e-02 -4.620471e-02 -6.325132e-03 -3.486473e-02 9.156375e-03
## 1993-11-26 1993-12-03 1993-12-10 1993-12-17 1993-12-24
## -3.242097e-02 -4.892467e-02 -3.083787e-02 1.875957e-02 -3.417272e-02
## 1993-12-31 1994-01-07 1994-01-14 1994-01-21 1994-01-28
## -2.622855e-02 7.389101e-02 -1.277519e-02 1.559209e-02 2.910808e-02
## 1994-02-04 1994-02-11 1994-02-18 1994-02-25 1994-03-04
## 3.292202e-02 -8.407152e-02 -5.390748e-02 4.542021e-03 1.944713e-02
## 1994-03-11 1994-03-18 1994-03-25 1994-04-01 1994-04-08
## -1.492565e-02 6.406849e-02 2.850384e-02 -8.508166e-02 6.779813e-02
## 1994-04-15 1994-04-22 1994-04-29 1994-05-06 1994-05-13
## 4.566381e-02 3.598687e-02 1.783487e-02 1.005034e-02 1.796270e-02
## 1994-05-20 1994-05-27 1994-06-03 1994-06-10 1994-06-17
## -1.297516e-02 1.665163e-02 -4.904976e-03 -1.299121e-02 3.727899e-02
## 1994-06-24 1994-07-01 1994-07-08 1994-07-15 1994-07-22
## 4.515572e-02 -5.750447e-03 -1.627943e-02 5.862276e-02 -3.774033e-02
## 1994-07-29 1994-08-05 1994-08-12 1994-08-19 1994-08-26
## 2.270245e-02 3.420080e-02 -5.175007e-02 -6.366321e-02 -5.247925e-02
## 1994-09-02 1994-09-09 1994-09-16 1994-09-23 1994-09-30
## 2.157444e-02 -1.256282e-03 -2.933884e-02 2.556050e-02 3.105840e-02
## 1994-10-07 1994-10-14 1994-10-21 1994-10-28 1994-11-04
## 2.237771e-02 -3.965143e-02 8.674156e-03 3.694032e-02 4.419324e-02
## 1994-11-11 1994-11-18 1994-11-25 1994-12-02 1994-12-09
## -6.849342e-03 -3.853366e-02 1.535766e-02 -1.238589e-02 -5.176193e-02
## 1994-12-16 1994-12-23 1994-12-30 1995-01-06 1995-01-13
## -1.765494e-02 -6.381643e-03 3.584162e-02 -7.439588e-03 9.907202e-03
## 1995-01-20 1995-01-27 1995-02-03 1995-02-10 1995-02-17
## 3.926811e-02 -1.778832e-03 8.274279e-03 -1.177856e-03 7.631384e-03
## 1995-02-24 1995-03-03 1995-03-10 1995-03-17 1995-03-24
## 4.667453e-03 -1.465872e-02 -1.367848e-02 -1.751781e-02 4.527277e-02
## 1995-03-31 1995-04-07 1995-04-14 1995-04-21 1995-04-28
## 4.386918e-02 1.658413e-02 7.101915e-03 2.844302e-02 8.954498e-03
## 1995-05-05 1995-05-12 1995-05-19 1995-05-26 1995-06-02
## -1.372778e-02 -2.967577e-02 8.724156e-03 -9.820046e-03 -3.288120e-02
## 1995-06-09 1995-06-16 1995-06-23 1995-06-30 1995-07-07
## 1.852425e-02 -1.231129e-02 -6.333804e-02 -1.801261e-03 -3.236924e-02
## 1995-07-14 1995-07-21 1995-07-28 1995-08-04 1995-08-11
## -1.186402e-02 -1.710526e-02 6.369448e-03 1.699758e-02 3.116238e-03
## 1995-08-18 1995-08-25 1995-09-01 1995-09-08 1995-09-15
## -1.126420e-02 2.486144e-02 -4.306374e-03 2.856469e-02 1.486795e-02
## 1995-09-22 1995-09-29 1995-10-06 1995-10-13 1995-10-20
## -2.955958e-03 -3.127134e-02 -8.589010e-03 -1.552344e-02 -1.252348e-03
## 1995-10-27 1995-11-03 1995-11-10 1995-11-17 1995-11-24
## 9.975145e-03 3.234948e-02 8.373255e-03 -2.385213e-03 4.170396e-03
## 1995-12-01 1995-12-08 1995-12-15 1995-12-22 1995-12-29
## 2.292196e-02 1.842309e-02 1.416053e-02 2.004521e-02 3.147303e-02
## 1996-01-05 1996-01-12 1996-01-19 1996-01-26 1996-02-02
## 2.427560e-02 -3.447703e-02 -5.092412e-02 -2.413910e-02 -3.251838e-02
## 1996-02-09 1996-02-16 1996-02-23 1996-03-01 1996-03-08
## 2.081550e-02 5.663509e-02 4.406478e-02 -1.064963e-03 3.722419e-03
## 1996-03-15 1996-03-22 1996-03-29 1996-04-05 1996-04-12
## 2.412283e-02 6.275585e-02 2.070866e-02 -1.908398e-03 7.938126e-02
## 1996-04-19 1996-04-26 1996-05-03 1996-05-10 1996-05-17
## -9.964244e-02 -1.176484e-02 -4.076036e-02 8.184189e-03 -2.946711e-02
## 1996-05-24 1996-05-31 1996-06-07 1996-06-14 1996-06-21
## 7.318381e-03 -2.799232e-02 -1.947060e-02 -8.225986e-03 2.178735e-02
## 1996-06-28 1996-07-05 1996-07-12 1996-07-19 1996-07-26
## 1.284814e-02 4.269258e-02 9.132484e-03 6.544197e-03 -3.212104e-02
## 1996-08-02 1996-08-09 1996-08-16 1996-08-23 1996-08-30
## -1.198868e-02 3.402390e-02 5.999833e-02 9.501259e-03 -1.764892e-02
## 1996-09-06 1996-09-13 1996-09-20 1996-09-27 1996-10-04
## 6.520000e-02 3.977546e-02 -4.293645e-02 3.292112e-02 3.187178e-02
## 1996-10-11 1996-10-18 1996-10-25 1996-11-01 1996-11-08
## 2.470295e-02 2.410740e-02 -2.830000e-03 -6.265096e-02 -5.356447e-02
## 1996-11-15 1996-11-22 1996-11-29 1996-12-06 1996-12-13
## 3.967536e-02 1.432005e-02 -6.917451e-03 4.786008e-02 -3.836087e-02
## 1996-12-20 1996-12-27 1997-01-03 1997-01-10 1997-01-17
## 2.963807e-02 -1.682833e-02 2.306665e-02 2.254656e-02 -6.014338e-02
## 1997-01-24 1997-01-31 1997-02-07 1997-02-14 1997-02-21
## -1.430764e-02 3.487362e-03 -1.977652e-02 -7.845350e-02 -1.402005e-02
## 1997-02-28 1997-03-07 1997-03-14 1997-03-21 1997-03-28
## -3.517826e-02 -2.398686e-02 -1.352075e-02 2.123882e-02 -4.080064e-02
## 1997-04-04 1997-04-11 1997-04-18 1997-04-25 1997-05-02
## -4.868339e-02 -4.002821e-02 1.102419e-02 2.450963e-02 1.785762e-02
## 1997-05-09 1997-05-16 1997-05-23 1997-05-30 1997-06-06
## -1.106807e-03 7.260391e-02 2.491866e-02 -3.891940e-02 -4.540166e-02
## 1997-06-13 1997-06-20 1997-06-27 1997-07-04 1997-07-11
## -8.077157e-02 2.284140e-02 2.685108e-02 3.707202e-02 -1.312211e-02
## 1997-07-18 1997-07-25 1997-08-01 1997-08-08 1997-08-15
## 4.940993e-03 1.683450e-02 2.078412e-02 1.101506e-02 -2.857337e-02
## 1997-08-22 1997-08-29 1997-09-05 1997-09-12 1997-09-19
## -1.611604e-03 -4.227915e-02 1.502951e-02 5.523336e-04 6.055620e-03
## 1997-09-26 1997-10-03 1997-10-10 1997-10-17 1997-10-24
## 3.293145e-02 6.725654e-02 2.983836e-02 -5.957096e-02 5.113782e-04
## 1997-10-31 1997-11-07 1997-11-14 1997-11-21 1997-11-28
## -1.493718e-02 -6.769096e-03 2.323885e-02 -2.010895e-02 -1.839737e-02
## 1997-12-05 1997-12-12 1997-12-19 1997-12-26 1998-01-02
## -5.059551e-02 -3.405550e-02 -1.629838e-02 1.173021e-03 -6.414782e-02
## 1998-01-09 1998-01-16 1998-01-23 1998-01-30 1998-02-06
## -3.952076e-02 -3.036537e-02 -1.349548e-02 5.870462e-02 -4.520914e-02
## 1998-02-13 1998-02-20 1998-02-27 1998-03-06 1998-03-13
## -3.825603e-02 -4.851165e-02 -2.666825e-02 -1.436698e-02 -6.448775e-02
## 1998-03-20 1998-03-27 1998-04-03 1998-04-10 1998-04-17
## -2.968066e-02 2.009749e-01 -5.776253e-02 -5.976386e-02 4.220672e-02
## 1998-04-24 1998-05-01 1998-05-08 1998-05-15 1998-05-22
## 6.620105e-03 2.605068e-02 -3.577821e-03 3.105401e-02 1.174452e-02
## 1998-05-29 1998-06-05 1998-06-12 1998-06-19 1998-06-26
## -7.583628e-03 -5.842117e-02 -8.974973e-02 -1.319275e-01 9.097178e-02
## 1998-07-03 1998-07-10 1998-07-17 1998-07-24 1998-07-31
## -7.553540e-03 -1.785003e-02 3.207026e-02 6.622541e-03 3.963317e-02
## 1998-08-07 1998-08-14 1998-08-21 1998-08-28 1998-09-04
## -4.128470e-02 -6.046968e-02 5.217087e-02 1.324523e-02 2.115620e-02
## 1998-09-11 1998-09-18 1998-09-25 1998-10-02 1998-10-09
## 1.518207e-02 2.428635e-02 1.188145e-01 -8.281621e-03 -5.850456e-02
## 1998-10-16 1998-10-23 1998-10-30 1998-11-06 1998-11-13
## -8.908419e-02 -5.871881e-02 5.065425e-02 -3.711766e-02 -4.643999e-02
## 1998-11-20 1998-11-27 1998-12-04 1998-12-11 1998-12-18
## -7.302514e-02 0.000000e+00 -6.960182e-02 -4.251548e-02 4.656817e-02
## 1998-12-25 1999-01-01 1999-01-08 1999-01-15 1999-01-22
## -1.118466e-02 6.242740e-02 4.965891e-02 3.767262e-02 -2.857337e-02
## 1999-01-29 1999-02-05 1999-02-12 1999-02-19 1999-02-26
## 6.320563e-03 -5.456740e-02 -6.276570e-02 1.904819e-02 4.940472e-02
## 1999-03-05 1999-03-12 1999-03-19 1999-03-26 1999-04-02
## 1.965435e-02 7.840167e-02 8.850983e-02 6.233020e-02 7.452898e-02
## 1999-04-09 1999-04-16 1999-04-23 1999-04-30 1999-05-07
## -3.409026e-02 3.954730e-02 8.910669e-02 6.821732e-03 1.837161e-02
## 1999-05-14 1999-05-21 1999-05-28 1999-06-04 1999-06-11
## -7.953717e-02 -4.501936e-02 2.377022e-02 -2.790246e-02 1.072221e-01
## 1999-06-18 1999-06-25 1999-07-02 1999-07-09 1999-07-16
## -6.201551e-04 -5.598770e-03 5.166752e-02 9.810678e-02 3.327479e-02
## 1999-07-23 1999-07-30 1999-08-06 1999-08-13 1999-08-20
## 1.557228e-03 2.459140e-02 -1.632689e-02 3.884473e-02 2.877546e-02
## 1999-08-27 1999-09-03 1999-09-10 1999-09-17 1999-09-24
## -2.679819e-02 3.159437e-02 4.856230e-02 5.065499e-02 -2.603038e-03
## 1999-10-01 1999-10-08 1999-10-15 1999-10-22 1999-10-29
## 9.941729e-03 -3.635171e-02 -2.896130e-02 4.590315e-04 1.375831e-03
## 1999-11-05 1999-11-12 1999-11-19 1999-11-26 1999-12-03
## 1.816580e-02 1.086405e-01 1.681385e-02 2.470230e-02 -1.837066e-02
## 1999-12-10 1999-12-17 1999-12-24 1999-12-31 2000-01-07
## 1.526747e-02 -1.172346e-02 -1.179941e-03 -5.129228e-03 -6.707338e-02
## 2000-01-14 2000-01-21 2000-01-28 2000-02-04 2000-02-11
## 2.918090e-02 8.048506e-02 2.286028e-02 1.251857e-02 1.091714e-02
## 2000-02-18 2000-02-25 2000-03-03 2000-03-10 2000-03-17
## 6.493529e-03 -1.799533e-03 6.045509e-02 2.709649e-02 -6.511074e-02
## 2000-03-24 2000-03-31 2000-04-07 2000-04-14 2000-04-21
## -1.085357e-01 -4.579113e-02 -4.411553e-02 -7.212738e-02 5.959210e-02
## 2000-04-28 2000-05-05 2000-05-12 2000-05-19 2000-05-26
## 1.253528e-02 6.967992e-02 7.485174e-02 6.372499e-02 1.316720e-02
## 2000-06-02 2000-06-09 2000-06-16 2000-06-23 2000-06-30
## 2.010632e-02 -3.327352e-02 3.899263e-02 -1.006880e-03 4.111745e-02
## 2000-07-07 2000-07-14 2000-07-21 2000-07-28 2000-08-04
## -4.198295e-03 -1.204638e-02 -8.829261e-02 -7.155173e-02 1.752426e-02
## 2000-08-11 2000-08-18 2000-08-25 2000-09-01 2000-09-08
## 6.788450e-02 5.925376e-02 5.499445e-02 7.720583e-02 5.966434e-02
## 2000-09-15 2000-09-22 2000-09-29 2000-10-06 2000-10-13
## -9.103714e-02 -5.124352e-03 -1.178964e-01 1.417985e-02 6.489464e-02
## 2000-10-20 2000-10-27 2000-11-03 2000-11-10 2000-11-17
## -2.739025e-02 1.219527e-02 -1.445808e-02 2.208443e-02 5.331720e-02
## 2000-11-24 2000-12-01 2000-12-08 2000-12-15 2000-12-22
## 4.192878e-03 -2.818796e-02 -1.400079e-01 -8.636866e-02 -9.963718e-02
## 2000-12-29 2001-01-05 2001-01-12 2001-01-19 2001-01-26
## -4.352297e-02 6.750897e-02 3.954051e-02 1.389187e-02 6.780967e-02
## 2001-02-02 2001-02-09 2001-02-16 2001-02-23 2001-03-02
## 1.472212e-03 8.560055e-02 -6.954767e-02 -4.971350e-02 -3.996652e-02
## 2001-03-09 2001-03-16 2001-03-23 2001-03-30 2001-04-06
## 2.617848e-02 -6.369044e-02 -3.556116e-02 2.357011e-02 -1.665279e-03
## 2001-04-13 2001-04-20 2001-04-27 2001-05-04 2001-05-11
## 8.004271e-02 1.033107e-02 -8.409835e-03 4.613606e-02 1.780247e-02
## 2001-05-18 2001-05-25 2001-06-01 2001-06-08 2001-06-15
## 2.031793e-02 3.365452e-02 -1.547220e-02 3.464403e-04 0.000000e+00
## 2001-06-22 2001-06-29 2001-07-06 2001-07-13 2001-07-20
## -7.365512e-02 -7.109478e-03 -2.779543e-02 -5.679509e-02 -4.172487e-02
## 2001-07-27 2001-08-03 2001-08-10 2001-08-17 2001-08-24
## 5.067529e-02 5.654296e-03 3.053975e-02 -7.449554e-03 2.751033e-03
## 2001-08-31 2001-09-07 2001-09-14 2001-09-21 2001-09-28
## 4.188893e-02 2.631086e-03 6.643706e-02 -7.510817e-02 -2.316041e-01
## 2001-10-05 2001-10-12 2001-10-19 2001-10-26 2001-11-02
## 7.608215e-03 -9.519348e-03 -5.051331e-02 2.875756e-02 -3.683841e-02
## 2001-11-09 2001-11-16 2001-11-23 2001-11-30 2001-12-07
## -2.101025e-02 -4.718607e-02 8.110345e-03 1.230949e-02 1.005565e-02
## 2001-12-14 2001-12-21 2001-12-28 2002-01-04 2002-01-11
## -5.243027e-02 3.917802e-02 1.902806e-02 6.043982e-02 6.386659e-03
## 2002-01-18 2002-01-25 2002-02-01 2002-02-08 2002-02-15
## -9.766358e-02 1.340862e-02 2.784525e-02 3.111702e-02 5.282402e-02
## 2002-02-22 2002-03-01 2002-03-08 2002-03-15 2002-03-22
## -4.731436e-02 2.855930e-02 7.794941e-02 5.034988e-02 4.222153e-02
## 2002-03-29 2002-04-05 2002-04-12 2002-04-19 2002-04-26
## 2.426322e-02 5.404619e-02 -5.965518e-02 0.000000e+00 5.281885e-02
## 2002-05-03 2002-05-10 2002-05-17 2002-05-24 2002-05-31
## 6.457762e-03 -9.893536e-03 7.619084e-03 -6.831541e-02 -2.509903e-02
## 2002-06-07 2002-06-14 2002-06-21 2002-06-28 2002-07-05
## -4.299449e-02 9.092940e-03 5.655958e-02 2.454358e-02 1.850811e-02
## 2002-07-12 2002-07-19 2002-07-26 2002-08-02 2002-08-09
## -3.126224e-03 2.817088e-02 -3.209245e-02 8.996736e-03 -6.250020e-03
## 2002-08-16 2002-08-23 2002-08-30 2002-09-06 2002-09-13
## 3.541556e-02 4.221286e-02 -1.814553e-03 -2.910151e-03 3.788873e-02
## 2002-09-20 2002-09-27 2002-10-04 2002-10-11 2002-10-18
## -6.686634e-03 2.957252e-02 -9.645269e-03 -2.523793e-02 9.890579e-03
## 2002-10-25 2002-11-01 2002-11-08 2002-11-15 2002-11-22
## -6.648535e-02 -4.102550e-02 -5.016097e-02 -3.774033e-02 3.196235e-02
## 2002-11-29 2002-12-06 2002-12-13 2002-12-20 2002-12-27
## 4.174872e-02 2.818190e-02 3.526432e-02 9.652878e-02 4.788764e-02
## 2003-01-03 2003-01-10 2003-01-17 2003-01-24 2003-01-31
## -1.290739e-03 -1.956371e-02 3.589714e-02 1.042828e-02 -1.936261e-02
## 2003-02-07 2003-02-14 2003-02-21 2003-02-28 2003-03-07
## 1.210591e-02 3.759958e-02 6.383971e-03 2.158357e-02 1.149946e-02
## 2003-03-14 2003-03-21 2003-03-28 2003-04-04 2003-04-11
## -1.149946e-02 -1.794786e-01 -4.462921e-02 -7.423905e-04 -7.596636e-02
## 2003-04-18 2003-04-25 2003-05-02 2003-05-09 2003-05-16
## -1.603850e-03 -1.048820e-02 -4.605668e-02 3.176197e-02 7.525323e-02
## 2003-05-23 2003-05-30 2003-06-06 2003-06-13 2003-06-20
## 3.670824e-02 -2.344293e-02 4.993695e-02 1.634139e-02 -5.430216e-02
## 2003-06-27 2003-07-04 2003-07-11 2003-07-18 2003-07-25
## 1.146674e-02 4.353989e-02 7.039775e-04 1.119676e-02 -2.537134e-02
## 2003-08-01 2003-08-08 2003-08-15 2003-08-22 2003-08-29
## 1.768705e-02 5.690515e-02 -1.973638e-02 3.372684e-03 1.404236e-02
## 2003-09-05 2003-09-12 2003-09-19 2003-09-26 2003-10-03
## -6.728687e-02 -2.117431e-02 -6.248526e-02 2.252433e-02 6.891737e-02
## 2003-10-10 2003-10-17 2003-10-24 2003-10-31 2003-11-07
## 5.150469e-02 3.679784e-02 -4.418787e-02 -4.129974e-02 -1.451096e-02
## 2003-11-14 2003-11-21 2003-11-28 2003-12-05 2003-12-12
## 3.365197e-02 2.047154e-02 -4.383791e-02 2.060488e-02 4.196893e-02
## 2003-12-19 2003-12-26 2004-01-02 2004-01-09 2004-01-16
## 2.293679e-02 -6.802153e-02 3.207371e-02 5.615052e-02 6.329135e-03
## 2004-01-23 2004-01-30 2004-02-06 2004-02-13 2004-02-20
## 5.662173e-03 -4.786525e-02 -2.431427e-02 1.539007e-02 4.129997e-02
## 2004-02-27 2004-03-05 2004-03-12 2004-03-19 2004-03-26
## 2.764864e-02 4.424964e-02 -1.103007e-02 3.533937e-02 -2.846854e-02
## 2004-04-02 2004-04-09 2004-04-16 2004-04-23 2004-04-30
## -4.133071e-02 1.600527e-02 3.598589e-02 -7.391017e-03 2.751125e-02
## 2004-05-07 2004-05-14 2004-05-21 2004-05-28 2004-06-04
## 4.901009e-02 3.351665e-02 2.130258e-02 -1.256890e-02 -1.861756e-02
## 2004-06-11 2004-06-18 2004-06-25 2004-07-02 2004-07-09
## -5.263648e-02 -7.099277e-03 -1.088836e-02 -2.066731e-02 7.122567e-02
## 2004-07-16 2004-07-23 2004-07-30 2004-08-06 2004-08-13
## 3.366415e-02 3.359254e-02 4.040193e-02 3.266288e-02 2.700646e-02
## 2004-08-20 2004-08-27 2004-09-03 2004-09-10 2004-09-17
## 3.192246e-02 -5.370573e-02 -2.955880e-02 -9.804000e-03 2.312945e-02
## 2004-09-24 2004-10-01 2004-10-08 2004-10-15 2004-10-22
## 8.640951e-02 3.917826e-02 2.058896e-02 5.796676e-02 -9.067675e-03
## 2004-10-29 2004-11-05 2004-11-12 2004-11-19 2004-11-26
## -6.954822e-03 -9.117120e-02 -6.660852e-02 -5.273208e-02 5.156399e-02
## 2004-12-03 2004-12-10 2004-12-17 2004-12-24 2004-12-31
## -3.496610e-02 -9.410055e-02 6.137528e-02 2.884460e-02 -3.360830e-02
## 2005-01-07 2005-01-14 2005-01-21 2005-01-28 2005-02-04
## 5.571927e-02 5.817472e-02 1.092907e-02 1.628199e-02 -3.962237e-02
## 2005-02-11 2005-02-18 2005-02-25 2005-03-04 2005-03-11
## -1.717665e-02 4.361781e-02 6.444177e-02 6.229414e-02 3.371321e-02
## 2005-03-18 2005-03-25 2005-04-01 2005-04-08 2005-04-15
## 3.261360e-02 -2.007249e-02 -2.887265e-02 2.943053e-02 -6.450134e-02
## 2005-04-22 2005-04-29 2005-05-06 2005-05-13 2005-05-20
## 1.573906e-02 7.971268e-03 -3.127406e-02 -2.734348e-02 -3.595705e-02
## 2005-05-27 2005-06-03 2005-06-10 2005-06-17 2005-06-24
## 3.369577e-02 3.776319e-02 2.813785e-02 4.280846e-02 5.004644e-02
## 2005-07-01 2005-07-08 2005-07-15 2005-07-22 2005-07-29
## -4.575862e-03 2.250030e-02 -9.531309e-03 -1.827498e-02 3.673492e-02
## 2005-08-05 2005-08-12 2005-08-19 2005-08-26 2005-09-02
## 3.229342e-02 6.472470e-02 -3.574485e-03 2.232407e-02 6.222984e-03
## 2005-09-09 2005-09-16 2005-09-23 2005-09-30 2005-10-07
## -4.408044e-02 -3.246308e-02 3.861112e-02 -2.337335e-02 -5.336141e-02
## 2005-10-14 2005-10-21 2005-10-28 2005-11-04 2005-11-11
## -5.786265e-03 -7.538155e-03 6.000875e-03 4.094172e-03 -3.376067e-02
## 2005-11-18 2005-11-25 2005-12-02 2005-12-09 2005-12-16
## -5.464456e-02 -3.726481e-03 3.732736e-04 4.523843e-02 4.669024e-02
## 2005-12-23 2005-12-30 2006-01-06 2006-01-13 2006-01-20
## -4.153147e-02 1.793612e-02 7.291222e-02 7.425377e-03 2.163622e-02
## 2006-01-27 2006-02-03 2006-02-10 2006-02-17 2006-02-24
## 3.613231e-03 3.600223e-03 -4.424582e-02 -5.350484e-02 2.299343e-02
## 2006-03-03 2006-03-10 2006-03-17 2006-03-24 2006-03-31
## 2.773113e-02 -2.588067e-02 4.790942e-02 -1.306154e-02 4.986393e-02
## 2006-04-07 2006-04-14 2006-04-21 2006-04-28 2006-05-05
## 3.295917e-02 2.915401e-02 5.133683e-02 4.127121e-03 1.097695e-03
## 2006-05-12 2006-05-19 2006-05-26 2006-06-02 2006-06-09
## -3.460167e-02 -3.760929e-02 9.243702e-03 4.081043e-03 -1.258799e-02
## 2006-06-16 2006-06-23 2006-06-30 2006-07-07 2006-07-14
## -2.566156e-02 3.212172e-02 4.981408e-02 2.244191e-02 7.325046e-03
## 2006-07-21 2006-07-28 2006-08-04 2006-08-11 2006-08-18
## -6.372471e-03 1.360082e-04 3.724154e-02 8.610621e-03 -6.203019e-02
## 2006-08-25 2006-09-01 2006-09-08 2006-09-15 2006-09-22
## -5.961063e-03 -5.091283e-02 -3.862981e-02 -6.892770e-02 -1.891348e-02
## 2006-09-29 2006-10-06 2006-10-13 2006-10-20 2006-10-27
## -2.470922e-02 -2.778196e-02 2.043715e-02 3.081139e-03 -1.342071e-02
## 2006-11-03 2006-11-10 2006-11-17 2006-11-24 2006-12-01
## -2.189038e-02 2.690119e-02 -2.934325e-03 2.306809e-02 5.568398e-02
## 2006-12-08 2006-12-15 2006-12-22 2006-12-29 2007-01-05
## 1.647954e-02 -1.695896e-02 -1.920001e-03 -4.504159e-02 -7.044188e-02
## 2007-01-12 2007-01-19 2007-01-26 2007-02-02 2007-02-09
## -7.152554e-02 -7.558908e-03 6.532858e-02 1.895535e-02 3.479529e-02
## 2007-02-16 2007-02-23 2007-03-02 2007-03-09 2007-03-16
## -4.161390e-02 4.609435e-02 4.142704e-02 -4.463924e-03 8.579495e-03
## 2007-03-23 2007-03-30 2007-04-06 2007-04-13 2007-04-20
## 3.607744e-03 7.882056e-02 3.639466e-02 -5.118841e-03 -2.961306e-02
## 2007-04-27 2007-05-04 2007-05-11 2007-05-18 2007-05-25
## 1.766513e-02 -2.023602e-02 -3.278478e-02 5.539222e-02 4.487004e-02
## 2007-06-01 2007-06-08 2007-06-15 2007-06-22 2007-06-29
## -3.163456e-02 3.981053e-02 -1.899150e-02 2.668331e-02 -2.786680e-04
## 2007-07-06 2007-07-13 2007-07-20 2007-07-27 2007-08-03
## 4.135697e-02 3.894297e-02 6.153866e-03 -2.040097e-02 -4.183013e-03
## 2007-08-10 2007-08-17 2007-08-24 2007-08-31 2007-09-07
## -7.675147e-02 -8.665442e-03 -2.382268e-02 3.036423e-02 6.196612e-02
## 2007-09-14 2007-09-21 2007-09-28 2007-10-05 2007-10-12
## 2.408804e-02 1.651011e-02 -2.558854e-04 -2.177673e-03 1.109493e-02
## 2007-10-19 2007-10-26 2007-11-02 2007-11-09 2007-11-16
## 6.671592e-02 -6.785336e-03 7.698758e-02 3.392367e-02 -3.039088e-02
## 2007-11-23 2007-11-30 2007-12-07 2007-12-14 2007-12-21
## 3.540289e-02 -1.987496e-02 -3.387910e-02 1.282569e-02 6.406738e-03
## 2007-12-28 2008-01-04 2008-01-11 2008-01-18 2008-01-25
## 3.855561e-02 2.210787e-02 -2.200194e-02 -4.739813e-02 -1.759248e-02
## 2008-02-01 2008-02-08 2008-02-15 2008-02-22 2008-02-29
## 3.673497e-02 -2.081000e-02 5.519090e-02 2.238394e-02 2.007915e-02
## 2008-03-07 2008-03-14 2008-03-21 2008-03-28 2008-04-04
## 2.786250e-02 5.526479e-02 -4.404242e-02 -9.751418e-03 -1.153120e-02
## 2008-04-11 2008-04-18 2008-04-25 2008-05-02 2008-05-09
## 5.515182e-02 3.520777e-02 3.488519e-02 -2.085618e-02 6.783724e-02
## 2008-05-16 2008-05-23 2008-05-30 2008-06-06 2008-06-13
## 2.260636e-02 3.124125e-02 1.794508e-02 -1.905268e-02 5.983739e-02
## 2008-06-20 2008-06-27 2008-07-04 2008-07-11 2008-07-18
## -1.532712e-02 2.585900e-02 3.998942e-02 -2.614152e-02 -1.746962e-02
## 2008-07-25 2008-08-01 2008-08-08 2008-08-15 2008-08-22
## -6.382299e-02 -1.807878e-02 -6.533715e-02 -5.647231e-02 1.352469e-02
## 2008-08-29 2008-09-05 2008-09-12 2008-09-19 2008-09-26
## 6.605398e-03 -8.065826e-02 -6.381226e-02 -8.503218e-02 1.216678e-01
## 2008-10-03 2008-10-10 2008-10-17 2008-10-24 2008-10-31
## -9.352800e-02 -1.264988e-01 -1.560459e-01 -7.304263e-02 -6.065374e-02
## 2008-11-07 2008-11-14 2008-11-21 2008-11-28 2008-12-05
## -1.966075e-02 -1.094258e-01 -1.085569e-01 1.536575e-02 -1.048341e-01
## 2008-12-12 2008-12-19 2008-12-26 2009-01-02 2009-01-09
## -6.353216e-02 1.692497e-02 -1.645942e-01 4.585172e-02 2.002043e-01
## 2009-01-16 2009-01-23 2009-01-30 2009-02-06 2009-02-13
## -6.552612e-02 -1.689511e-02 5.894334e-02 -1.275063e-02 4.371423e-02
## 2009-02-20 2009-02-27 2009-03-06 2009-03-13 2009-03-20
## -1.083139e-01 4.235589e-02 2.727232e-02 2.732242e-03 5.421082e-02
## 2009-03-27 2009-04-03 2009-04-10 2009-04-17 2009-04-24
## 1.028590e-01 -5.944722e-02 5.983579e-02 2.134473e-03 -5.211999e-02
## 2009-05-01 2009-05-08 2009-05-15 2009-05-22 2009-05-29
## 1.921386e-02 9.381577e-02 2.805435e-02 2.625282e-02 7.181034e-02
## 2009-06-05 2009-06-12 2009-06-19 2009-06-26 2009-07-03
## 7.687172e-02 3.955277e-02 -2.866153e-03 -3.060125e-02 6.636703e-03
## 2009-07-10 2009-07-17 2009-07-24 2009-07-31 2009-08-07
## -1.191253e-01 1.185199e-02 8.542828e-02 3.018874e-02 7.563741e-02
## 2009-08-14 2009-08-21 2009-08-28 2009-09-04 2009-09-11
## -1.484131e-02 -1.911151e-02 1.126185e-02 -6.763100e-02 2.295926e-02
## 2009-09-18 2009-09-25 2009-10-02 2009-10-09 2009-10-16
## -4.637017e-03 -2.783480e-02 -1.595698e-02 2.945567e-02 6.309170e-02
## 2009-10-23 2009-10-30 2009-11-06 2009-11-13 2009-11-20
## 6.623165e-02 -1.526349e-02 6.943108e-03 -4.579661e-03 1.030735e-02
## 2009-11-27 2009-12-04 2009-12-11 2009-12-18 2009-12-25
## -6.772623e-03 1.633218e-02 -6.150892e-02 -1.849094e-02 2.135803e-02
## 2010-01-01 2010-01-08 2010-01-15 2010-01-22 2010-01-29
## 5.102741e-02 3.350418e-02 -1.909879e-02 -5.283357e-02 -3.284367e-02
## 2010-02-05 2010-02-12 2010-02-19 2010-02-26 2010-03-05
## 9.140072e-03 -2.357317e-02 6.753333e-02 5.656793e-03 2.115726e-02
## 2010-03-12 2010-03-19 2010-03-26 2010-04-02 2010-04-09
## 1.908212e-02 -3.913899e-03 -8.511771e-03 2.780578e-02 4.001263e-02
## 2010-04-16 2010-04-23 2010-04-30 2010-05-07 2010-05-14
## 1.596628e-02 -7.301022e-03 1.606225e-02 -4.131642e-02 -5.199530e-02
## 2010-05-21 2010-05-28 2010-06-04 2010-06-11 2010-06-18
## -8.177855e-02 -1.930670e-02 2.676118e-02 6.874270e-04 4.645754e-02
## 2010-06-25 2010-07-02 2010-07-09 2010-07-16 2010-07-23
## 5.495238e-03 -3.694772e-02 1.217780e-03 2.338897e-02 1.234097e-02
## 2010-07-30 2010-08-06 2010-08-13 2010-08-20 2010-08-27
## 7.798324e-03 6.818122e-02 -5.570116e-02 -4.270972e-02 -2.869715e-02
## 2010-09-03 2010-09-10 2010-09-17 2010-09-24 2010-10-01
## 3.494925e-02 2.307089e-02 1.632322e-02 -7.652086e-04 1.820531e-02
## 2010-10-08 2010-10-15 2010-10-22 2010-10-29 2010-11-05
## 4.949388e-02 -9.102949e-03 -2.042128e-02 1.001963e-02 3.992189e-02
## 2010-11-12 2010-11-19 2010-11-26 2010-12-03 2010-12-10
## 2.115319e-02 -4.073622e-02 -5.135873e-03 5.350615e-02 2.411106e-02
## 2010-12-17 2010-12-24 2010-12-31 2011-01-07 2011-01-14
## 7.286409e-03 2.165364e-02 2.902136e-03 1.649939e-02 2.471321e-02
## 2011-01-21 2011-01-28 2011-02-04 2011-02-11 2011-02-18
## 2.571621e-03 -7.424245e-03 3.797796e-02 -4.594036e-03 2.871294e-02
## 2011-02-25 2011-03-04 2011-03-11 2011-03-18 2011-03-25
## 7.204239e-02 3.591178e-02 -6.987510e-04 -1.567485e-02 2.402781e-02
## 2011-04-01 2011-04-08 2011-04-15 2011-04-22 2011-04-29
## 9.314427e-03 5.462280e-02 4.379569e-03 -6.739500e-03 2.112130e-02
## 2011-05-06 2011-05-13 2011-05-20 2011-05-27 2011-06-03
## -4.737126e-02 -4.298154e-02 -2.215937e-02 1.233214e-02 1.981819e-02
## 2011-06-10 2011-06-17 2011-06-24 2011-07-01 2011-07-08
## 1.756611e-02 -8.016417e-03 -5.826206e-02 -1.049232e-02 5.669462e-02
## 2011-07-15 2011-07-22 2011-07-29 2011-08-05 2011-08-12
## 1.999123e-02 4.069182e-03 -4.239091e-03 -4.385335e-02 -6.747225e-02
## 2011-08-19 2011-08-26 2011-09-02 2011-09-09 2011-09-16
## 3.947636e-02 1.378082e-02 4.446742e-02 -1.206481e-03 -8.573337e-03
## 2011-09-23 2011-09-30 2011-10-07 2011-10-14 2011-10-21
## -2.643792e-02 -3.906355e-02 -3.457741e-02 7.015212e-02 -1.075944e-03
## 2011-10-28 2011-11-04 2011-11-11 2011-11-18 2011-11-25
## -1.256733e-03 -1.347400e-02 4.312088e-02 -3.541214e-02 -3.699354e-02
## 2011-12-02 2011-12-09 2011-12-16 2011-12-23 2011-12-30
## 3.119485e-02 -6.746926e-03 -2.829896e-02 1.364635e-02 -1.951401e-03
## 2012-01-06 2012-01-13 2012-01-20 2012-01-27 2012-02-03
## 4.545824e-02 -6.509453e-03 -1.969528e-02 -3.839478e-03 1.833249e-02
## 2012-02-10 2012-02-17 2012-02-24 2012-03-02 2012-03-09
## 5.263682e-02 2.177301e-02 2.920456e-02 1.240851e-02 1.383720e-02
## 2012-03-16 2012-03-23 2012-03-30 2012-04-06 2012-04-13
## -3.164059e-03 -1.492625e-02 6.431385e-04 -2.011183e-03 -2.701654e-02
## 2012-04-20 2012-04-27 2012-05-04 2012-05-11 2012-05-18
## -3.100437e-02 7.820509e-03 -1.218229e-02 -4.281678e-02 -1.723481e-02
## 2012-05-25 2012-06-01 2012-06-08 2012-06-15 2012-06-22
## -1.587116e-02 -4.414497e-02 -4.385888e-02 -1.854925e-02 -5.009747e-02
## 2012-06-29 2012-07-06 2012-07-13 2012-07-20 2012-07-27
## -1.339233e-02 7.971381e-02 1.087186e-02 5.379317e-02 -1.164246e-02
## 2012-08-03 2012-08-10 2012-08-17 2012-08-24 2012-08-31
## 2.922885e-02 4.751531e-02 2.241557e-02 9.171995e-03 -2.688709e-02
## 2012-09-07 2012-09-14 2012-09-21 2012-09-28 2012-10-05
## 9.598101e-03 1.132811e-02 -3.151114e-02 -1.332273e-02 9.559957e-03
## 2012-10-12 2012-10-19 2012-10-26 2012-11-02 2012-11-09
## 3.067102e-02 -1.129263e-02 -4.796737e-02 5.342680e-03 -9.878675e-03
## 2012-11-16 2012-11-23 2012-11-30 2012-12-07 2012-12-14
## 1.235608e-02 1.039302e-02 -3.998551e-03 -6.761104e-03 1.833349e-04
## 2012-12-21 2012-12-28 2013-01-04 2013-01-11 2013-01-18
## 6.304557e-03 1.821494e-04 2.286740e-02 1.779993e-04 -9.118604e-03
## 2013-01-25 2013-02-01 2013-02-08 2013-02-15 2013-02-22
## 2.106089e-02 1.232264e-02 1.739324e-02 8.076558e-03 -2.399430e-02
## 2013-03-01 2013-03-08 2013-03-15 2013-03-22 2013-03-29
## -2.529557e-02 -2.194333e-02 -1.437820e-02 -1.001214e-02 3.255665e-03
## 2013-04-05 2013-04-12 2013-04-19 2013-04-26 2013-05-03
## -5.774441e-03 -3.623619e-02 -5.126781e-02 2.536623e-02 9.102665e-03
## 2013-05-10 2013-05-17 2013-05-24 2013-05-31 2013-06-07
## 2.182259e-02 -8.322092e-03 -5.945147e-03 -2.642785e-03 8.685100e-03
## 2013-06-14 2013-06-21 2013-06-28 2013-07-05 2013-07-12
## 4.556258e-03 5.209350e-03 -2.434869e-02 3.630426e-02 2.886257e-02
## 2013-07-19 2013-07-26 2013-08-02 2013-08-09 2013-08-16
## 1.056655e-02 -9.274204e-03 1.935395e-03 -4.604688e-04 1.979179e-02
## 2013-08-23 2013-08-30 2013-09-06 2013-09-13 2013-09-20
## 3.515893e-03 3.710017e-02 6.137906e-03 -2.451595e-02 -2.903430e-02
## 2013-09-27 2013-10-04 2013-10-11 2013-10-18 2013-10-25
## -1.078720e-02 -1.563722e-03 1.525631e-02 -1.724060e-03 -2.101670e-02
## 2013-11-01 2013-11-08 2013-11-15 2013-11-22 2013-11-29
## -1.949590e-03 -2.894381e-02 2.419320e-02 2.051638e-02 1.812958e-02
## 2013-12-06 2013-12-13 2013-12-20 2013-12-27 2014-01-03
## 8.586815e-03 -2.873086e-02 1.130162e-02 1.242923e-02 -2.712800e-02
## 2014-01-10 2014-01-17 2014-01-24 2014-01-31 2014-02-07
## -1.594546e-02 7.633625e-03 1.207555e-02 -2.844430e-03 -1.015893e-02
## 2014-02-14 2014-02-21 2014-02-28 2014-03-07 2014-03-14
## 1.282010e-02 5.665738e-03 -5.207631e-03 -2.748385e-04 -1.040765e-02
## 2014-03-21 2014-03-28 2014-04-04 2014-04-11 2014-04-18
## -1.379718e-02 9.386587e-05 -1.208702e-02 1.180540e-02 2.375100e-02
## 2014-04-25 2014-05-02 2014-05-09 2014-05-16 2014-05-23
## 1.282756e-03 -5.495512e-04 -6.157259e-03 9.632660e-03 1.080601e-02
## 2014-05-30 2014-06-06 2014-06-13 2014-06-20 2014-06-27
## -9.984652e-03 -5.855460e-03 1.818563e-02 2.938907e-02 -1.055512e-02
## 2014-07-04 2014-07-11 2014-07-18 2014-07-25 2014-08-01
## -2.534275e-02 -2.973204e-02 -1.544141e-02 8.973753e-03 -5.942012e-03
## 2014-08-08 2014-08-15 2014-08-22 2014-08-29 2014-09-05
## -2.016217e-02 -1.615292e-02 -2.041494e-02 7.580328e-03 -1.889702e-03
## 2014-09-12 2014-09-19 2014-09-26 2014-10-03 2014-10-10
## -3.165557e-02 -3.087375e-03 -2.093499e-02 -1.698374e-02 -3.507985e-02
## 2014-10-17 2014-10-24 2014-10-31 2014-11-07 2014-11-14
## -5.340218e-02 9.352350e-04 -2.337268e-04 -2.989546e-02 -3.854657e-02
## 2014-11-21 2014-11-28 2014-12-05 2014-12-12 2014-12-19
## -2.895073e-02 -1.283648e-02 -9.450142e-02 -8.435492e-02 -6.962844e-02
## 2014-12-26 2015-01-02 2015-01-09 2015-01-16 2015-01-23
## -1.823451e-02 -4.638209e-02 -1.245208e-01 -6.019516e-02 -3.010108e-03
## 2015-01-30 2015-02-06 2015-02-13 2015-02-20 2015-02-27
## 6.866980e-03 1.553720e-01 3.507869e-02 6.832091e-02 9.900991e-04
## 2015-03-06 2015-03-13 2015-03-20 2015-03-27 2015-04-03
## -8.447255e-03 -6.192495e-02 -6.942272e-02 4.252010e-02 -4.007291e-03
## 2015-04-10 2015-04-17 2015-04-24 2015-05-01 2015-05-08
## 3.090992e-02 4.515166e-02 3.800341e-02 3.330972e-02 2.365869e-02
## 2015-05-15 2015-05-22 2015-05-29 2015-06-05 2015-06-12
## -1.693481e-03 -9.132484e-03 -4.354040e-02 5.345441e-03 2.141683e-02
## 2015-06-19 2015-06-26 2015-07-03 2015-07-10 2015-07-17
## -4.181738e-02 3.127832e-03 -7.920833e-03 -6.378775e-02 9.490405e-03
## 2015-07-24 2015-07-31 2015-08-07 2015-08-14 2015-08-21
## -2.515187e-02 -2.930413e-02 -1.081555e-01 -1.346752e-02 -4.130883e-02
## 2015-08-28 2015-09-04 2015-09-11 2015-09-18 2015-09-25
## -5.519104e-02 1.157134e-01 -2.633095e-02 -5.477157e-03 -2.112602e-04
## 2015-10-02 2015-10-09 2015-10-16 2015-10-23 2015-10-30
## -7.209531e-03 8.834056e-02 -4.665918e-02 -4.551934e-02 7.237154e-03
## 2015-11-06 2015-11-13 2015-11-20 2015-11-27 2015-12-04
## 1.695275e-03 -5.393784e-02 -7.443463e-02 4.954646e-02 -2.881910e-02
## 2015-12-11 2015-12-18 2015-12-25 2016-01-01 2016-01-08
## -8.999540e-02 -5.080458e-02 -2.584692e-02 1.794389e-02 -6.674798e-02
## 2016-01-15 2016-01-22 2016-01-29 2016-02-05 2016-02-12
## -1.611950e-01 -4.714204e-02 1.342966e-01 1.345242e-02 -5.657364e-02
## 2016-02-19
## 5.998608e-02
plot(Y)
acf(as.data.frame(Y),type='correlation',lag=40)
acf(as.data.frame(Y),type='partial',lag=40, main="")
#find the order of AR by two ways 1- PACF here we find the order is 2 from PACF plot, 2-information cariteria AIC here an AR(3)is selected based on AIC
# estimate an AR(2) model - there is 2 significant coefficients in the PACF plot for y
m1 <- arima(Y, order=c(1,0,0))
str(m1)
## List of 14
## $ coef : Named num [1:2] 0.183609 0.000369
## ..- attr(*, "names")= chr [1:2] "ar1" "intercept"
## $ sigma2 : num 0.00173
## $ var.coef : num [1:2, 1:2] 6.44e-04 2.48e-08 2.48e-08 1.73e-06
## ..- attr(*, "dimnames")=List of 2
## .. ..$ : chr [1:2] "ar1" "intercept"
## .. ..$ : chr [1:2] "ar1" "intercept"
## $ mask : logi [1:2] TRUE TRUE
## $ loglik : num 2643
## $ aic : num -5280
## $ arma : int [1:7] 1 0 0 0 0 0 0
## $ residuals: Time-Series [1:1501] from 6350 to 16850: -0.00248 0.00333 0.00447 0.00138 0.01298 ...
## $ call : language arima(x = Y, order = c(1, 0, 0))
## $ series : chr "Y"
## $ code : int 0
## $ n.cond : int 0
## $ nobs : int 1501
## $ model :List of 10
## ..$ phi : num 0.184
## ..$ theta: num(0)
## ..$ Delta: num(0)
## ..$ Z : num 1
## ..$ a : num 0.0596
## ..$ P : num [1, 1] 0
## ..$ T : num [1, 1] 0.184
## ..$ V : num [1, 1] 1
## ..$ h : num 0
## ..$ Pn : num [1, 1] 1
## - attr(*, "class")= chr "Arima"
m1
##
## Call:
## arima(x = Y, order = c(1, 0, 0))
##
## Coefficients:
## ar1 intercept
## 0.1836 0.0004
## s.e. 0.0254 0.0013
##
## sigma^2 estimated as 0.00173: log likelihood = 2643.13, aic = -5280.25
tsdiag(m1,gof.lag=40)
# estimate an AR(2) model
m2 <- arima(Y, order=c(2,0,0))
m2
##
## Call:
## arima(x = Y, order = c(2, 0, 0))
##
## Coefficients:
## ar1 ar2 intercept
## 0.1848 -0.0066 0.0004
## s.e. 0.0258 0.0258 0.0013
##
## sigma^2 estimated as 0.00173: log likelihood = 2643.16, aic = -5278.32
# diagnostics for the AR(2) model - tests for corelation 1- L-B, 2-B-p ,from L-B test we find that transformed data are not correlated(not significant)
tsdiag(m2,gof.lag=24)
# estimate an AR(3) model since PACF for lag 2 and 3 are comparable in size
m3 <- arima(Y, order=c(3,0,0))
m3
##
## Call:
## arima(x = Y, order = c(3, 0, 0))
##
## Coefficients:
## ar1 ar2 ar3 intercept
## 0.1855 -0.0244 0.0951 0.0004
## s.e. 0.0257 0.0262 0.0257 0.0014
##
## sigma^2 estimated as 0.001714: log likelihood = 2649.97, aic = -5289.93
# diagnostics for the AR(3) model,tests for corelation 1- L-B, 2-B-p ,from L-B test we find that transformed data are correlated( significant) .the problem of AR(1) and AR(2)are gone.
tsdiag(m3,gof.lag=24)
# we prefer MA(2) to MA(1)
B1=arima(Y,order=c(0,0,1),method="ML")
B1
##
## Call:
## arima(x = Y, order = c(0, 0, 1), method = "ML")
##
## Coefficients:
## ma1 intercept
## 0.1901 0.0004
## s.e. 0.0261 0.0013
##
## sigma^2 estimated as 0.001729: log likelihood = 2643.54, aic = -5281.08
str(B1)
## List of 14
## $ coef : Named num [1:2] 0.190137 0.000369
## ..- attr(*, "names")= chr [1:2] "ma1" "intercept"
## $ sigma2 : num 0.00173
## $ var.coef : num [1:2, 1:2] 6.82e-04 2.57e-08 2.57e-08 1.63e-06
## ..- attr(*, "dimnames")=List of 2
## .. ..$ : chr [1:2] "ma1" "intercept"
## .. ..$ : chr [1:2] "ma1" "intercept"
## $ mask : logi [1:2] TRUE TRUE
## $ loglik : num 2644
## $ aic : num -5281
## $ arma : int [1:7] 0 1 0 0 0 0 0
## $ residuals: Time-Series [1:1501] from 6350 to 16850: -0.00248 0.00332 0.00436 0.00147 0.01312 ...
## $ call : language arima(x = Y, order = c(0, 0, 1), method = "ML")
## $ series : chr "Y"
## $ code : int 0
## $ n.cond : num 0
## $ nobs : int 1501
## $ model :List of 10
## ..$ phi : num(0)
## ..$ theta: num 0.19
## ..$ Delta: num(0)
## ..$ Z : num [1:2] 1 0
## ..$ a : num [1:2] 0.0596 0.0133
## ..$ P : num [1:2, 1:2] 0 0 0 0
## ..$ T : num [1:2, 1:2] 0 0 1 0
## ..$ V : num [1:2, 1:2] 1 0.1901 0.1901 0.0362
## ..$ h : num 0
## ..$ Pn : num [1:2, 1:2] 1 0.1901 0.1901 0.0362
## - attr(*, "class")= chr "Arima"
tsdiag(B1,gof.lag=40)
B2=arima(Y,order=c(0,0,2),method="ML")
B2
##
## Call:
## arima(x = Y, order = c(0, 0, 2), method = "ML")
##
## Coefficients:
## ma1 ma2 intercept
## 0.1903 -0.0094 0.0004
## s.e. 0.0259 0.0259 0.0013
##
## sigma^2 estimated as 0.001729: log likelihood = 2643.61, aic = -5279.21
str(B2)
## List of 14
## $ coef : Named num [1:3] 0.190263 -0.009447 0.000369
## ..- attr(*, "names")= chr [1:3] "ma1" "ma2" "intercept"
## $ sigma2 : num 0.00173
## $ var.coef : num [1:3, 1:3] 6.68e-04 -6.45e-06 2.50e-08 -6.45e-06 6.73e-04 ...
## ..- attr(*, "dimnames")=List of 2
## .. ..$ : chr [1:3] "ma1" "ma2" "intercept"
## .. ..$ : chr [1:3] "ma1" "ma2" "intercept"
## $ mask : logi [1:3] TRUE TRUE TRUE
## $ loglik : num 2644
## $ aic : num -5279
## $ arma : int [1:7] 0 2 0 0 0 0 0
## $ residuals: Time-Series [1:1501] from 6350 to 16850: -0.00248 0.00332 0.00434 0.00151 0.01316 ...
## $ call : language arima(x = Y, order = c(0, 0, 2), method = "ML")
## $ series : chr "Y"
## $ code : int 0
## $ n.cond : num 0
## $ nobs : int 1501
## $ model :List of 10
## ..$ phi : num(0)
## ..$ theta: num [1:2] 0.19026 -0.00945
## ..$ Delta: num(0)
## ..$ Z : num [1:3] 1 0 0
## ..$ a : num [1:3] 0.059617 0.013747 -0.000658
## ..$ P : num [1:3, 1:3] 0 0 0 0 0 0 0 0 0
## ..$ T : num [1:3, 1:3] 0 0 0 1 0 0 0 1 0
## ..$ V : num [1:3, 1:3] 1 0.19026 -0.00945 0.19026 0.0362 ...
## ..$ h : num 0
## ..$ Pn : num [1:3, 1:3] 1 0.19026 -0.00945 0.19026 0.0362 ...
## - attr(*, "class")= chr "Arima"
tsdiag(B2,gof.lag=40)
