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  • Dufile RFF

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    Bruno Tomaz
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    This document loads stock price data for PETR4.SA from a CSV file, performs some time series analysis and modeling. It difference the time series data, runs unit root and stationarity tests, fits an ARIMA(1,0,0) model to the differenced data, and generates forecasts from the fitted model.

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    dufile Rff

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    dufile Rff

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    This document loads stock price data for PETR4.SA from a CSV file, performs some time series analysis and modeling. It difference the time series data, runs unit root and stationarity tests, fits an ARIMA(1,0,0) model to the differenced data, and generates forecasts from the fitted model.

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    © All Rights Reserved
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    8 views1 page

    Dufile RFF

    Uploaded by

    Bruno Tomaz
    This document loads stock price data for PETR4.SA from a CSV file, performs some time series analysis and modeling. It difference the time series data, runs unit root and stationarity tests, fits an ARIMA(1,0,0) model to the differenced data, and generates forecasts from the fitted model.

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    of 1

    read.csv("PETR4.SA.

    csv")

    > petrobras=read.csv("PETR4.SA.csv")
    > petr4=petrobras$Adj.Close
    > petr4=as.ts(petr4)
    > plot(petr4)

    ADF
    > adf.test(petr4)
    > pp.test(petr4)
    > kpss.test(petr4)

    > diff(petr4)
    > diff(petr4, differences = 2)
    > diffpetr4=diff(petr4)

    ADF diff
    adf.test(diffpetr4)
    > pp.test(diffpetr4)
    > kpss.test(diffpetr4)

    > plot(diffpetr4)
    > tsdisplay(petr4) IMPORTANTE PACACET
    > tsdisplay(diffpetr4)

    > x=arima(diffpetr4,order=c(1,0,0))
    > x
    > acf(x$residuals)
    > pacf(x$residuals)
    > tsdiag(x)

    > x=arima(diffpetr4,order=c(1,0,0))
    > x
    > forecast<-predict(x,n.ahead=4)
    > forecast
    > library(forecast)
    > forecast(x,5)
    > plot(forecast(x,5))

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