Forecasting_Week 6 Discussion

## Roku and Netflix Data
roku <- read.csv("//Users//kevinclifford//Downloads//ROKU.csv", header=TRUE)
netflix <- read.csv("//Users//kevinclifford//Downloads//NFLX.csv", header=TRUE)

##Removing variables
roku$Open <- NULL
roku$High <- NULL
roku$Low <- NULL
roku$Close <- NULL
roku$Volume <- NULL

netflix$Open <- NULL
netflix$High <- NULL
netflix$Low <- NULL
netflix$Close <- NULL
netflix$Volume <- NULL


## Roku missing first 5 months
netflix <- netflix[6:60,]


stream <- data.frame(roku$Adj.Close, netflix$Adj.Close)
stream_ts <- ts(stream)
stream_ts %>% autoplot() + labs(title="Roku and Netflix Adjusted Closing Prices") + 
  ylab("Price") +
  guides(colour=guide_legend(title="Adjusted Closing Price"))

## VAR
VAR <- VAR(stream_ts)
summary(VAR)

## 
## VAR Estimation Results:
## ========================= 
## Endogenous variables: roku.Adj.Close, netflix.Adj.Close 
## Deterministic variables: const 
## Sample size: 54 
## Log Likelihood: -538.741 
## Roots of the characteristic polynomial:
## 0.9453 0.8051
## Call:
## VAR(y = stream_ts)
## 
## 
## Estimation results for equation roku.Adj.Close: 
## =============================================== 
## roku.Adj.Close = roku.Adj.Close.l1 + netflix.Adj.Close.l1 + const 
## 
##                      Estimate Std. Error t value Pr(>|t|)    
## roku.Adj.Close.l1     0.95729    0.06563  14.586   <2e-16 ***
## netflix.Adj.Close.l1 -0.01273    0.06777  -0.188    0.852    
## const                13.57211   20.68763   0.656    0.515    
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## 
## Residual standard error: 35.27 on 51 degrees of freedom
## Multiple R-Squared: 0.9176,  Adjusted R-squared: 0.9144 
## F-statistic:   284 on 2 and 51 DF,  p-value: < 2.2e-16 
## 
## 
## Estimation results for equation netflix.Adj.Close: 
## ================================================== 
## netflix.Adj.Close = roku.Adj.Close.l1 + netflix.Adj.Close.l1 + const 
## 
##                      Estimate Std. Error t value Pr(>|t|)    
## roku.Adj.Close.l1     0.14354    0.07346   1.954  0.05619 .  
## netflix.Adj.Close.l1  0.79313    0.07585  10.456 2.76e-14 ***
## const                63.73237   23.15494   2.752  0.00817 ** 
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## 
## Residual standard error: 39.47 on 51 degrees of freedom
## Multiple R-Squared: 0.8862,  Adjusted R-squared: 0.8817 
## F-statistic: 198.5 on 2 and 51 DF,  p-value: < 2.2e-16 
## 
## 
## 
## Covariance matrix of residuals:
##                   roku.Adj.Close netflix.Adj.Close
## roku.Adj.Close              1244               398
## netflix.Adj.Close            398              1558
## 
## Correlation matrix of residuals:
##                   roku.Adj.Close netflix.Adj.Close
## roku.Adj.Close            1.0000            0.2859
## netflix.Adj.Close         0.2859            1.0000

VAR_fc <- VAR %>% forecast(h=12)
VAR_fc %>% autoplot(netflix)

VAR_fc %>% autoplot(roku)