JKSE Seasonality

TSSeasonal

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2014,1)), type = "all", title = "IHSG Monthly Return Since October 2014")

## Warning: `arrange_()` is deprecated as of dplyr 0.7.0.
## Please use `arrange()` instead.
## See vignette('programming') for more help
## This warning is displayed once every 8 hours.
## Call `lifecycle::last_warnings()` to see where this warning was generated.

TS Seasonal Box Plot IHSG Monthly Return

ts_seasonal(ihsg.monthly.diff.ts, type = "box", title = "IHSG Monthly Return - Boxplot")

TS Seasonal Box Plot IHSG Monthly Return Since Oktober 2014

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2014,10)), type = "box", title = "IHSG Monthly Return Since October 2014 - Boxplot")

TS Seasonal IHSG Monthly Return (Cycle Graph) Since Oktober 2014

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2014,10)), , title = "IHSG Monthly Return Since October 2014 - Cycle Graph", type = "cycle")

TS Seasonal IHSG Monthly Return Since Oktober 2014

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2014,10)), title = "IHSG Monthly Return Since October 2014")

TS Seasonal IHSG Quarterly Return Since Oktober 2014

ts_seasonal(window(ihsg.quarterly.diff.ts, start = c(2014,1)), title = "IHSG Quarterly Return Since October 2014")

TS Heatmap IHSG Monthly Return

ts_heatmap(ihsg.monthly.diff.ts, color = "RdYlBu", title = "IHSG Monthly Return")

TS Heatmap IHSG Quarterly Return

ts_heatmap(ihsg.quarterly.diff.ts, color = "RdYlBu", title = "IHSG Quarterly Return")

Custom Seasonality

SBY Presidential Cycle atau “SBY Cycle”

# Okt 2004 - Okt 2009 & Okt 2009 - Okt 2014
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2004,1), end = c(2014,10)), type = "all", title = "IHSG Monthly Return in SBY Cycle")

TS Seasonal IHSG Monthly Return In “SBY Cycle”

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2004,1), end = c(2014,10)), title = "IHSG Monthly Return In SBY Cycle")

TS Seasonal Box Plot IHSG Monthly Return In “SBY Cycle”

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2004,1), end = c(2014,10)), type = "box", title = "IHSG Monthly Return In SBY Cycle - Boxplot")

TS Seasonal IHSG Monthly Return (Cycle Graph) in “SBY Cycle”

ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2004,1), end = c(2014,10)), title = "IHSG Monthly Return in SBY Cycle - Cycle Graph", type = "cycle")

Before Online Trading

ts_seasonal(window(ihsg.monthly.diff.ts, end = c(2002,12)), type = "all", title = "IHSG Monthly Return Before Online Trading")

Before Online Trading in Boxplot

ts_seasonal(window(ihsg.monthly.diff.ts, end = c(2002,12)), type = "box", title = "IHSG Monthly Return Before Online Trading")

Before Online Trading in Cycle

ts_seasonal(window(ihsg.monthly.diff.ts, end = c(2002,12)), type = "cycle", title = "IHSG Monthly Return Before Online Trading")

Online Trading Era

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2003,1)), type = "all", title = "IHSG Monthly Return Since Online Trading")

Online Trading Era in Boxplot

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2003,1)), type = "box", title = "IHSG Monthly Return Since Online Trading")

Online Trading Era in Cycle

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2003,1)), type = "cycle", title = "IHSG Monthly Return Since Online Trading")

After GFC

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2008,10)), type = "all", title = "IHSG Monthly Return Since GFC")

After GFC - Boxplot

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2007,12), end = c(2008,12)), title = "IHSG Monthly Return 2008")

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2008,10)), type = "box", title = "IHSG Monthly Return Since GFC")

After GFC Cycle Graph

# Since 2003
ts_seasonal(window(ihsg.monthly.diff.ts, start = c(2008,10)), type = "cycle", title = "IHSG Monthly Return Since GFC")

Another Statistical Data & Graphs

Histogram Density

hist(ihsg.monthly.diff.ts, probability = TRUE)

hist(window(ihsg.monthly.diff.ts, start = c(2014,10)), probability = TRUE)

hist(window(ihsg.monthly.diff.ts, start = c(2008,10)), probability = TRUE)

hist(window(ihsg.monthly.diff.ts, start = c(2004,1)), probability = TRUE)

hist(ihsg.all.xts.diff, probability = TRUE)

Standard Deviation

sd(ihsg.monthly.diff.ts)

## [1] 0.07433261

sd(window(ihsg.monthly.diff.ts, start = c(2014,10)))

## [1] 0.04148619

sd(window(ihsg.monthly.diff.ts, start = c(2008,10)))

## [1] 0.0568875

sd(window(ihsg.monthly.diff.ts, start = c(2004,1)))

## [1] 0.05798251

sd(window(ihsg.monthly.diff.ts, start = c(2003,1)))

## [1] 0.05858444

sd(window(ihsg.monthly.diff.ts, end = c(2003,1)))

## [1] 0.1003799

Autocorrelation Function

acf(ihsg.monthly.diff.ts)

acf(window(ihsg.monthly.diff.ts, start = c(2014,10)))

acf(window(ihsg.monthly.diff.ts, start = c(2008,10)))

acf(window(ihsg.monthly.diff.ts, start = c(2004,1)))

ts_lags(window(ihsg.monthly.diff.ts, start = c(2014,10)))