#R Research Assignment
#Name: Tamara Govender 
#Student Number: 992077

setwd("C:/Users/Tam/Documents")

#Installation of Necessary Packages
install.packages("DataExplorer")
library(DataExplorer)
install.packages("tidyverse")
library(tidyverse)
install.packages("dplyr")
library(dplyr)
install.packages("ggplot2")
library(ggplot2)
install.packages("tseries")
library(tseries)
install.packages("moments")
library(moments)
install.packages("forecast")
library(forecast)
install.packages("quantmod")
library(quantmod)

#Import Data
library(readr)
Data <- read.csv2("~/Raw Data.csv", row.names=1)
View(Data)

#Summary Statistics
summary(Data)

#Creating Data Explorer HTML Output
?create_report
?output_format

create_report(Data, output_format = html_document(toc = TRUE, toc_depth = 6, theme = "yeti", output_file = "report.html", output_dir = getwd(), y = NULL, config = configure_report(), report_title = "R Assignment Report - Tamara Govender (992077)"))

output_format(knitr_options(opts_knit = NULL, opts_chunk = NULL, knit_hooks = NULL, opts_hooks = NULL, opts_template = NULL), pandoc, keep_md = FALSE, clean_supporting = TRUE, df_print = NULL, pre_knit = NULL, post_knit = NULL, pre_processor = NULL, intermediates_generator = NULL, post_processor = NULL, on_exit = NULL, base_format = NULL)

#Initial Return Plots
ggplot(data = Data, aes(x=Data$CASH_RATIO,y = Data$TOBIN_Q_RATIO))+ geom_jitter()+ labs(x="Liquidity",y="Firm Market Value",title = "MRF JSE EQUITY: 2000-2019", caption="The Relationship Between Liquidity (Proxied by the Cash Ratio) and Firm Market Value")

ggplot(data = Data, aes(x=Data$TURNOVER,y = Data$TOBIN_Q_RATIO))+ geom_jitter()+ labs(x="Liquidity",y="Firm Market Value",title = "MRF JSE EQUITY: 2000-2019", caption="The Relationship Between Liquidity (Proxied by Turnover) and Firm Market Value")

#Stationarity Testing

adf.test(Data$CASH_RATIO)
pp.test(Data$CASH_RATIO)
kpss.test(Data$CASH_RATIO)

adf.test(Data$TOBIN_Q_RATIO)
pp.test(Data$TOBIN_Q_RATIO)
kpss.test(Data$TOBIN_Q_RATIO)

adf.test(Data$TURNOVER)
pp.test(Data$TURNOVER)
kpss.test(Data$TURNOVER)

#Normality Testing

skewness(Data$CASH_RATIO)
kurtosis(Data$CASH_RATIO)
jarque.bera.test(Data$CASH_RATIO)

skewness(Data$TOBIN_Q_RATIO)
kurtosis(Data$TOBIN_Q_RATIO)
jarque.bera.test(Data$TOBIN_Q_RATIO)

skewness(Data$TURNOVER)
kurtosis(Data$TURNOVER)
jarque.bera.test(Data$TURNOVER)

#GARCH Testing

garch(Data$CASH_RATIO)
garch(Data$TOBIN_Q_RATIO)
garch(Data$TURNOVER)

#ARMA Testing

arma(Data$CASH_RATIO)
arma(Data$TOBIN_Q_RATIO)
arma(Data$TURNOVER)

#Correlation Testing

cor.test(Data$CASH_RATIO, Data$TOBIN_Q_RATIO, method = "pearson")
cor.test(Data$CASH_RATIO, Data$TOBIN_Q_RATIO, method = "spearman")
cor.test(Data$CASH_RATIO, Data$TOBIN_Q_RATIO, method = "kendall")

cor.test(Data$TURNOVER, Data$TOBIN_Q_RATIO, method = "pearson")
cor.test(Data$TURNOVER, Data$TOBIN_Q_RATIO, method = "spearman")
cor.test(Data$TURNOVER, Data$TOBIN_Q_RATIO, method = "kendall")

#ACF and PACF Plots

acf(Data$CASH_RATIO,plot=TRUE,main="ACF: MRF JSE EQUITY")
pacf(Data$CASH_RATIO,plot=TRUE,main="PACF: MRF JSE EQUITY")

acf(Data$TURNOVER,plot=TRUE,main="ACF: MRF JSE EQUITY")
pacf(Data$TURNOVER,plot=TRUE,main="PACF: MRF JSE EQUITY")

acf(Data$TOBIN_Q_RATIO,plot=TRUE,main="ACF: MRF JSE EQUITY")
pacf(Data$TOBIN_Q_RATIO,plot=TRUE,main="PACF: MRF JSE EQUITY")

#Unit Root Circles

fitCR <- auto.arima(Data$CASH_RATIO)
MyARIMATestCR <- summary(fitCR)
plot(fitCR)

fitTQ <- auto.arima(Data$TOBIN_Q_RATIO)
MyARIMATestTQ <- summary(fitTQ)
plot(fitTQ)

fitT <- auto.arima(Data$TURNOVER)
MyARIMAT <- summary(fitT)
plot(fitT)

#Test

startdate = as.Date(2000-01-31)
enddate = as.Date(2018-12-31)
getSymbols("JSE.JO")

chartSeries(JSE.JO)

getSymbols("^IXIC")
chartSeries(IXIC)

getSymbols("ZAR=X")

summary(JSE.JO,IXIC,`ZAR=X`)