#Exercise5
library(fBasics)
## Loading required package: timeDate
## Loading required package: timeSeries
da=read.table("d-fx-usjp-0711.txt",header=T) # Load data
da1=read.table("d-fx-ukus-0711.txt",header=T) # Load data
usjp=diff(log(da$rate))
ukus=diff(log(da1$rate))
head(usjp)
## [1] 0.0062917032 -0.0025119330 -0.0042848207 -0.0023602810 0.0080693049
## [6] 0.0005858476
basicStats(usjp)
## usjp
## nobs 1237.000000
## NAs 0.000000
## Minimum -0.052156
## Maximum 0.030593
## 1. Quartile -0.004517
## 3. Quartile 0.004075
## Mean -0.000345
## Median -0.000370
## Sum -0.426384
## SE Mean 0.000214
## LCL Mean -0.000764
## UCL Mean 0.000074
## Variance 0.000056
## Stdev 0.007515
## Skewness -0.416500
## Kurtosis 4.835848
head(ukus)
## [1] -0.0121324830 -0.0028247881 -0.0071229784 0.0041354414 0.0007734949
## [6] -0.0034078620
basicStats(ukus)
## ukus
## nobs 1237.000000
## NAs 0.000000
## Minimum -0.049662
## Maximum 0.044349
## 1. Quartile -0.004204
## 3. Quartile 0.004058
## Mean -0.000185
## Median 0.000000
## Sum -0.228465
## SE Mean 0.000213
## LCL Mean -0.000602
## UCL Mean 0.000233
## Variance 0.000056
## Stdev 0.007485
## Skewness -0.359374
## Kurtosis 5.467822
library(fBasics)
hist(usjp,nclass=30) # Histogram
d1=density(usjp) # Obtain density estimate
range(usjp) # Range of 3M returns
## [1] -0.05215648 0.03059285
x=seq(-.1,.1,.001) # Create a sequence of x with increment 0.001.
# The next command creates normal density
y1=dnorm(x,mean(usjp),stdev(usjp))
plot(d1$x,d1$y,xlab="rtn",ylab="density",type="l")
lines(x,y1,lty=2)
rt=cbind(usjp, ukus) # Obtain bivariate returns
m1=apply(rt,2,mean) # Obtain sample means
v1=cov(rt) # Obtain sample covariance matrix
library(mnormt) # Load package
x=rmnorm(1029,mean=0,varcov=v1) # Simulation
dim(x)
## [1] 1029 2
plot(x[,2],x[,1],xlab="sim-usjp",ylab="sim-ukus",cex=0.8)
