VARS_Week6_Discussion_Kirk.R

library(vars)

## Loading required package: MASS

## Loading required package: strucchange

## Loading required package: zoo

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

## Loading required package: sandwich

## Loading required package: urca

## Loading required package: lmtest

library(fpp2)

## Loading required package: ggplot2

## Loading required package: forecast

## Loading required package: fma

## 
## Attaching package: 'fma'

## The following objects are masked from 'package:MASS':
## 
##     cement, housing, petrol

## Loading required package: expsmooth

library(readxl)
file.choose()

## [1] "C:\\Users\\connor\\Documents\\Predictive Analytics\\Delta and JetBlue Monthly Adjusted Close.xlsx"

Airline_Stock = read_xlsx("C:\\Users\\connor\\Documents\\Predictive Analytics\\Delta and JetBlue Monthly Adjusted Close.xlsx")
View(Airline_Stock)
airline_stocks = data.frame(Airline_Stock$Delta_Adj_Close, Airline_Stock$Jet_Blue_Adj_Close)
airline_stocks_ts = ts(airline_stocks, frequency = 12, start = c(2014, 5))
autoplot(airline_stocks_ts)

#Make series stationary
airline_stock_tsdiff = diff(airline_stocks_ts)
#Fitting VAR model
airline_VAR = VAR(airline_stock_tsdiff, type = "const", lag.max = 10, ic = "AIC")
airline_VAR

## 
## VAR Estimation Results:
## ======================= 
## 
## Estimated coefficients for equation Airline_Stock.Delta_Adj_Close: 
## ================================================================== 
## Call:
## Airline_Stock.Delta_Adj_Close = Airline_Stock.Delta_Adj_Close.l1 + Airline_Stock.Jet_Blue_Adj_Close.l1 + const 
## 
##    Airline_Stock.Delta_Adj_Close.l1 Airline_Stock.Jet_Blue_Adj_Close.l1 
##                          -0.2880373                           0.2137730 
##                               const 
##                           0.4382759 
## 
## 
## Estimated coefficients for equation Airline_Stock.Jet_Blue_Adj_Close: 
## ===================================================================== 
## Call:
## Airline_Stock.Jet_Blue_Adj_Close = Airline_Stock.Delta_Adj_Close.l1 + Airline_Stock.Jet_Blue_Adj_Close.l1 + const 
## 
##    Airline_Stock.Delta_Adj_Close.l1 Airline_Stock.Jet_Blue_Adj_Close.l1 
##                        -0.002579703                        -0.146325864 
##                               const 
##                         0.122914277

autoplot(forecast(airline_VAR, 12))