rm(list=ls())
library(forecast)
## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zoo
library(ggplot2)
#Load data
dy.stock <- read.csv('DY.csv')
#Select adjusted price as time series
dy.price <- ts(dy.stock$Adj.Close)
#Plot adjusted close price
autoplot(dy.price, xlab = "Days", ylab = "Daily Adjusted Closing Price") +
ggtitle("DY Stock Data from 3/31/2019 - 3/31/2021") +
theme(plot.title = element_text(hjust = 0.5)) +
labs(caption = "Source: Dycom Industries, Inc. (DY) Stock Data, Yahoo Finance") +
theme(plot.caption = element_text(hjust = 0))
#Arima
arima.model <- auto.arima(dy.price)
arima.model
## Series: dy.price
## ARIMA(0,1,0)
##
## sigma^2 estimated as 4.691: log likelihood=-1102.47
## AIC=2206.95 AICc=2206.95 BIC=2211.17
arima.predictions <- forecast(arima.model, h=30, level=95)
arima.predictions
## Point Forecast Lo 95 Hi 95
## 505 89.3 85.05483 93.54518
## 506 89.3 83.29642 95.30359
## 507 89.3 81.94714 96.65286
## 508 89.3 80.80965 97.79035
## 509 89.3 79.80750 98.79250
## 510 89.3 78.90149 99.69852
## 511 89.3 78.06832 100.53168
## 512 89.3 77.29283 101.30717
## 513 89.3 76.56448 102.03553
## 514 89.3 75.87558 102.72443
## 515 89.3 75.22035 103.37966
## 516 89.3 74.59428 104.00572
## 517 89.3 73.99381 104.60620
## 518 89.3 73.41601 105.18399
## 519 89.3 72.85851 105.74150
## 520 89.3 72.31930 106.28070
## 521 89.3 71.79670 106.80331
## 522 89.3 71.28925 107.31076
## 523 89.3 70.79571 107.80429
## 524 89.3 70.31500 108.28500
## 525 89.3 69.84617 108.75384
## 526 89.3 69.38837 109.21164
## 527 89.3 68.94086 109.65915
## 528 89.3 68.50298 110.09703
## 529 89.3 68.07413 110.52588
## 530 89.3 67.65377 110.94624
## 531 89.3 67.24142 111.35858
## 532 89.3 66.83665 111.76336
## 533 89.3 66.43903 112.16097
## 534 89.3 66.04822 112.55179
autoplot(arima.predictions,
main ="DY Stock Data with Next 30 Days Forecast Using ARIMA",
ylab="Daily Adjusted Closing Price", xlab ="Days") +
theme(plot.title = element_text(hjust = 0.5)) +
labs(caption = "Source: Dycom Industries, Inc. (DY) Stock Data, Yahoo Finance") +
theme(plot.caption = element_text(hjust = 0))
#Drift
drift.predictions <- rwf(dy.price, 30, level=95, drift=TRUE)
drift.predictions
## Point Forecast Lo 95 Hi 95
## 505 89.38322 85.13696 93.62949
## 506 89.46644 83.45536 95.47753
## 507 89.54967 82.18032 96.91901
## 508 89.63289 81.11507 98.15070
## 509 89.71611 80.18350 99.24871
## 510 89.79933 79.34658 100.25207
## 511 89.88255 78.58119 101.18391
## 512 89.96577 77.87225 102.05929
## 513 90.04899 77.20930 102.88868
## 514 90.13221 76.58475 103.67967
## 515 90.21543 75.99287 104.43799
## 516 90.29865 75.42920 105.16810
## 517 90.38187 74.89021 105.87354
## 518 90.46509 74.37303 106.55715
## 519 90.54831 73.87532 107.22131
## 520 90.63153 73.39509 107.86798
## 521 90.71475 72.93069 108.49881
## 522 90.79798 72.48071 109.11524
## 523 90.88120 72.04391 109.71849
## 524 90.96442 71.61923 110.30961
## 525 91.04764 71.20574 110.88954
## 526 91.13086 70.80262 111.45910
## 527 91.21408 70.40915 112.01901
## 528 91.29730 70.02467 112.56993
## 529 91.38052 69.64860 113.11244
## 530 91.46374 69.28043 113.64705
## 531 91.54696 68.91967 114.17425
## 532 91.63018 68.56591 114.69445
## 533 91.71340 68.21875 115.20806
## 534 91.79662 67.87783 115.71541
autoplot(drift.predictions, ylab = "Daily Adjusted Closing Price", xlab = "Days") +
ggtitle("DY Stock Data with Next 30 Days Forecast Using Random Walk w/ Drift") +
theme(plot.title = element_text(hjust = 0.5)) +
labs(caption = "Source: Dycom Industries, Inc. (DY) Stock Data, Yahoo Finance") +
theme(plot.caption = element_text(hjust = 0))
#Mean, naive, and drift plot
autoplot(dy.price, xlab = "Days", ylab = "Adjusted Closing Price") +
autolayer(meanf(dy.price, h=30), series = "Mean", PI = FALSE) +
autolayer(naive(dy.price, h=30), series = "Naive", PI = FALSE) +
autolayer(rwf(dy.price, h=30, drift=TRUE), series = "Drift", PI = FALSE) +
ggtitle("DY Stock Data from 3/31/2019 - 3/31/2021 with Next 30 Days Forecast") +
theme(plot.title = element_text(hjust = 0.5)) +
labs(caption = "Source: Dycom Industries, Inc. (DY) Stock Data, Yahoo Finance") +
theme(plot.caption = element_text(hjust = 0))
