Platform: x86_64-w64-mingw32/x64 (64-bit)

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Escriba 'license()' o 'licence()' para detalles de distribucion.

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Escriba 'contributors()' para obtener más información y
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[Previously saved workspace restored]

> setwd("C:\Users\DOCENTE\Desktop\Aula1")
Error: '\U' utilizado sin dígitos hexadecimales en .. ""C:\U"
> setwd("C:/Users/DOCENTE/Desktop/Aula1")
> ibm_r <- read.table("d-ibm-0110.txt", header = T)
> head(ibm_r)

1 20010102 -0.002206
2 20010103 0.115696
3 20010104 -0.015192
4 20010105 0.008719
5 20010108 -0.004654
6 20010109 -0.010688
> tail(ibm_r)
date return
2510 20101223 -0.000411
2511 20101227 -0.003770
2512 20101228 0.002546
2513 20101229 0.005559
2514 20101230 0.001024
2515 20101231 0.000614
> dim(ibm_r)
[1] 2515 2
> library(quantmod)
Loading required package: xts
Loading required package: zoo

Attaching package: ‘zoo’

The following objects are masked from ‘package:base’:

as.Date, as.Date.numeric

Loading required package: TTR

Registered S3 method overwritten by 'quantmod':
method from
as.zoo.data.frame zoo
> getSymbols("AAPL", from )
Error in getSymbols("AAPL", from) : objeto 'from' no encontrado
> getSymbols("AAPL", from = "2007-01-03", to = "2011-12-02")
[1] "AAPL"
> head(AAPL)
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2007-01-03 3.081786 3.092143 2.925000 2.992857 1238319600 2.533752
2007-01-04 3.001786 3.069643 2.993571 3.059286 847260400 2.589990
2007-01-05 3.063214 3.078571 3.014286 3.037500 834741600 2.571545
2007-01-08 3.070000 3.090357 3.045714 3.052500 797106800 2.584245
2007-01-09 3.087500 3.320714 3.041071 3.306071 3349298400 2.798918
2007-01-10 3.383929 3.492857 3.337500 3.464286 2952880000 2.932863
> AAPL_r <- diff(log(AAPL.Adjusted))
Error in diff(log(AAPL.Adjusted)) : objeto 'AAPL.Adjusted' no encontrado
> AAPL_r <- diff(log(AAPL$AAPL.Adjusted))
> head(AAPL_r)
AAPL.Adjusted
2007-01-03 NA
2007-01-04 0.021952968
2007-01-05 -0.007147042
2007-01-08 0.004926264
2007-01-09 0.079799797
2007-01-10 0.046746072
> chartSeries(AAPL_r)
> chartSeries(AAPL_r, theme="white")
> 3m_r <- read.table("d-mmm-0111.txt", header=T)
Error: unexpected symbol en "3m_r"
> mmm_r <- read.table("d-mmm-0111.txt", header=T)
> head(mmm_r)
date rtn
1 20010102 -0.010892
2 20010103 -0.011536
3 20010104 0.010080
4 20010105 -0.037290
5 20010108 0.006001
6 20010109 -0.015727
> dim(mmm_r)
[1] 2704 2
> mmm_return <- mmm_r[ ,2]
> head(mmm_return)
[1] -0.010892 -0.011536 0.010080 -0.037290 0.006001 -0.015727
> library(fBasics)

Attaching package: ‘fBasics’

The following object is masked from ‘package:TTR’:

volatility

> basicStats(mmm_return)
mmm_return
nobs 2704.000000
NAs 0.000000
Minimum -0.089569
Maximum 0.098784
1. Quartile -0.007161
3. Quartile 0.007987
Mean 0.000278
Median 0.000349
Sum 0.751082
SE Mean 0.000298
LCL Mean -0.000306
UCL Mean 0.000862
Variance 0.000240
Stdev 0.015488
Skewness 0.027949
Kurtosis 4.630925
> mean(mmm_return)
[1] 0.000277767
> var(mmm_return)
[1] 0.0002398835
> stdev(mmm_return)
[1] 0.01548817
> t,test(mmm_return)
Error: inesperado ',' en "t,"
> t.test(mmm_return)

One Sample t-test

data: mmm_return
t = 0.93258, df = 2703, p-value = 0.3511
alternative hypothesis: true mean is not equal to 0
95 percent confidence interval:
-0.0003062688 0.0008618028
sample estimates:
mean of x
0.000277767

> s3 <- skewness(mmm.return)

Error in skewness(mmm.return) : objeto 'mmm.return' no encontrado
> s3 <- skewness(mmm_return)
> s3
[1] 0.02794929
attr(,"method")
[1] "moment"
> T <- length(mmm_return)
> T
[1] 2704
> t3 <- s3/T
> t3
[1] 1.033628e-05
attr(,"method")
[1] "moment"
> t3 <- s3/sqrt(6/T)
> sqrt(4)
[1] 2
> t3
[1] 0.593333
attr(,"method")
[1] "moment"
> p_value_s3 <- 2*(1-pnorm(t3))
> p_value_s3
[1] 0.5529583
attr(,"method")
[1] "moment"
> s4 <- kurtosis(mmm_return)
> s4
[1] 4.630925
attr(,"method")
[1] "excess"
> t4 <- s4/sqrt(24/T)
> t4
[1] 49.15475
attr(,"method")
[1] "excess"
> p_value_s4 <- 2*(1-pnorm(t4))
> p_value_s4
[1] 0
attr(,"method")
[1] "excess"
> normalTest(mmm_return, method="jb")

Title:
Jarque - Bera Normalality Test

Test Results:
STATISTIC:
X-squared: 2422.4384
P VALUE:
Asymptotic p Value: < 2.2e-16

> head(mmm_return)
[1] -0.010892 -0.011536 0.010080 -0.037290 0.006001 -0.015727
> hist(mmm_return)
> hist(mmm_return, nclass=30)
> density_mmm_return <- density(mmm_return)
> plot(density_mmm_return)
> density_mmm_return <- density(mmm_return)
> range(mmm_return)
[1] -0.089569 0.098784
> x <- seq(-0.1, 0.1, 0.001)
> norm_mmm_return <- dnorm(x, mean(mmm_return), stdev(mmm_return))
> plot(norm_mmm_return)
> head(density_mmm_return)
$x
[1] -9.585235e-02 -9.545916e-02 -9.506597e-02 -9.467278e-02 -9.427960e-02
[6] -9.388641e-02 -9.349322e-02 -9.310003e-02 -9.270684e-02 -9.231365e-02
[11] -9.192046e-02 -9.152727e-02 -9.113408e-02 -9.074089e-02 -9.034770e-02
[16] -8.995451e-02 -8.956132e-02 -8.916814e-02 -8.877495e-02 -8.838176e-02
[21] -8.798857e-02 -8.759538e-02 -8.720219e-02 -8.680900e-02 -8.641581e-02
[26] -8.602262e-02 -8.562943e-02 -8.523624e-02 -8.484305e-02 -8.444986e-02
[31] -8.405668e-02 -8.366349e-02 -8.327030e-02 -8.287711e-02 -8.248392e-02
[36] -8.209073e-02 -8.169754e-02 -8.130435e-02 -8.091116e-02 -8.051797e-02
[41] -8.012478e-02 -7.973159e-02 -7.933840e-02 -7.894521e-02 -7.855203e-02
[46] -7.815884e-02 -7.776565e-02 -7.737246e-02 -7.697927e-02 -7.658608e-02
[51] -7.619289e-02 -7.579970e-02 -7.540651e-02 -7.501332e-02 -7.462013e-02
[56] -7.422694e-02 -7.383375e-02 -7.344057e-02 -7.304738e-02 -7.265419e-02
[61] -7.226100e-02 -7.186781e-02 -7.147462e-02 -7.108143e-02 -7.068824e-02
[66] -7.029505e-02 -6.990186e-02 -6.950867e-02 -6.911548e-02 -6.872229e-02
[71] -6.832911e-02 -6.793592e-02 -6.754273e-02 -6.714954e-02 -6.675635e-02
[76] -6.636316e-02 -6.596997e-02 -6.557678e-02 -6.518359e-02 -6.479040e-02
[81] -6.439721e-02 -6.400402e-02 -6.361083e-02 -6.321765e-02 -6.282446e-02
[86] -6.243127e-02 -6.203808e-02 -6.164489e-02 -6.125170e-02 -6.085851e-02
[91] -6.046532e-02 -6.007213e-02 -5.967894e-02 -5.928575e-02 -5.889256e-02
[96] -5.849937e-02 -5.810618e-02 -5.771300e-02 -5.731981e-02 -5.692662e-02
[101] -5.653343e-02 -5.614024e-02 -5.574705e-02 -5.535386e-02 -5.496067e-02
[106] -5.456748e-02 -5.417429e-02 -5.378110e-02 -5.338791e-02 -5.299472e-02
[111] -5.260154e-02 -5.220835e-02 -5.181516e-02 -5.142197e-02 -5.102878e-02
[116] -5.063559e-02 -5.024240e-02 -4.984921e-02 -4.945602e-02 -4.906283e-02
[121] -4.866964e-02 -4.827645e-02 -4.788326e-02 -4.749008e-02 -4.709689e-02
[126] -4.670370e-02 -4.631051e-02 -4.591732e-02 -4.552413e-02 -4.513094e-02
[131] -4.473775e-02 -4.434456e-02 -4.395137e-02 -4.355818e-02 -4.316499e-02
[136] -4.277180e-02 -4.237861e-02 -4.198543e-02 -4.159224e-02 -4.119905e-02
[141] -4.080586e-02 -4.041267e-02 -4.001948e-02 -3.962629e-02 -3.923310e-02
[146] -3.883991e-02 -3.844672e-02 -3.805353e-02 -3.766034e-02 -3.726715e-02
[151] -3.687397e-02 -3.648078e-02 -3.608759e-02 -3.569440e-02 -3.530121e-02
[156] -3.490802e-02 -3.451483e-02 -3.412164e-02 -3.372845e-02 -3.333526e-02
[161] -3.294207e-02 -3.254888e-02 -3.215569e-02 -3.176251e-02 -3.136932e-02
[166] -3.097613e-02 -3.058294e-02 -3.018975e-02 -2.979656e-02 -2.940337e-02
[171] -2.901018e-02 -2.861699e-02 -2.822380e-02 -2.783061e-02 -2.743742e-02
[176] -2.704423e-02 -2.665105e-02 -2.625786e-02 -2.586467e-02 -2.547148e-02
[181] -2.507829e-02 -2.468510e-02 -2.429191e-02 -2.389872e-02 -2.350553e-02
[186] -2.311234e-02 -2.271915e-02 -2.232596e-02 -2.193277e-02 -2.153958e-02
[191] -2.114640e-02 -2.075321e-02 -2.036002e-02 -1.996683e-02 -1.957364e-02
[196] -1.918045e-02 -1.878726e-02 -1.839407e-02 -1.800088e-02 -1.760769e-02
[201] -1.721450e-02 -1.682131e-02 -1.642812e-02 -1.603494e-02 -1.564175e-02
[206] -1.524856e-02 -1.485537e-02 -1.446218e-02 -1.406899e-02 -1.367580e-02
[211] -1.328261e-02 -1.288942e-02 -1.249623e-02 -1.210304e-02 -1.170985e-02
[216] -1.131666e-02 -1.092348e-02 -1.053029e-02 -1.013710e-02 -9.743907e-03
[221] -9.350718e-03 -8.957529e-03 -8.564340e-03 -8.171151e-03 -7.777961e-03
[226] -7.384772e-03 -6.991583e-03 -6.598394e-03 -6.205204e-03 -5.812015e-03
[231] -5.418826e-03 -5.025637e-03 -4.632447e-03 -4.239258e-03 -3.846069e-03
[236] -3.452880e-03 -3.059690e-03 -2.666501e-03 -2.273312e-03 -1.880123e-03
[241] -1.486933e-03 -1.093744e-03 -7.005548e-04 -3.073656e-04 8.582367e-05
[246] 4.790129e-04 8.722022e-04 1.265391e-03 1.658581e-03 2.051770e-03
[251] 2.444959e-03 2.838148e-03 3.231338e-03 3.624527e-03 4.017716e-03
[256] 4.410905e-03 4.804095e-03 5.197284e-03 5.590473e-03 5.983662e-03
[261] 6.376852e-03 6.770041e-03 7.163230e-03 7.556419e-03 7.949609e-03
[266] 8.342798e-03 8.735987e-03 9.129176e-03 9.522366e-03 9.915555e-03
[271] 1.030874e-02 1.070193e-02 1.109512e-02 1.148831e-02 1.188150e-02
[276] 1.227469e-02 1.266788e-02 1.306107e-02 1.345426e-02 1.384745e-02
[281] 1.424064e-02 1.463383e-02 1.502702e-02 1.542020e-02 1.581339e-02
[286] 1.620658e-02 1.659977e-02 1.699296e-02 1.738615e-02 1.777934e-02
[291] 1.817253e-02 1.856572e-02 1.895891e-02 1.935210e-02 1.974529e-02
[296] 2.013848e-02 2.053166e-02 2.092485e-02 2.131804e-02 2.171123e-02
[301] 2.210442e-02 2.249761e-02 2.289080e-02 2.328399e-02 2.367718e-02
[306] 2.407037e-02 2.446356e-02 2.485675e-02 2.524994e-02 2.564312e-02
[311] 2.603631e-02 2.642950e-02 2.682269e-02 2.721588e-02 2.760907e-02
[316] 2.800226e-02 2.839545e-02 2.878864e-02 2.918183e-02 2.957502e-02
[321] 2.996821e-02 3.036140e-02 3.075458e-02 3.114777e-02 3.154096e-02
[326] 3.193415e-02 3.232734e-02 3.272053e-02 3.311372e-02 3.350691e-02
[331] 3.390010e-02 3.429329e-02 3.468648e-02 3.507967e-02 3.547286e-02
[336] 3.586605e-02 3.625923e-02 3.665242e-02 3.704561e-02 3.743880e-02
[341] 3.783199e-02 3.822518e-02 3.861837e-02 3.901156e-02 3.940475e-02
[346] 3.979794e-02 4.019113e-02 4.058432e-02 4.097751e-02 4.137069e-02
[351] 4.176388e-02 4.215707e-02 4.255026e-02 4.294345e-02 4.333664e-02
[356] 4.372983e-02 4.412302e-02 4.451621e-02 4.490940e-02 4.530259e-02
[361] 4.569578e-02 4.608897e-02 4.648215e-02 4.687534e-02 4.726853e-02
[366] 4.766172e-02 4.805491e-02 4.844810e-02 4.884129e-02 4.923448e-02
[371] 4.962767e-02 5.002086e-02 5.041405e-02 5.080724e-02 5.120043e-02
[376] 5.159361e-02 5.198680e-02 5.237999e-02 5.277318e-02 5.316637e-02
[381] 5.355956e-02 5.395275e-02 5.434594e-02 5.473913e-02 5.513232e-02
[386] 5.552551e-02 5.591870e-02 5.631189e-02 5.670508e-02 5.709826e-02
[391] 5.749145e-02 5.788464e-02 5.827783e-02 5.867102e-02 5.906421e-02
[396] 5.945740e-02 5.985059e-02 6.024378e-02 6.063697e-02 6.103016e-02
[401] 6.142335e-02 6.181654e-02 6.220972e-02 6.260291e-02 6.299610e-02
[406] 6.338929e-02 6.378248e-02 6.417567e-02 6.456886e-02 6.496205e-02
[411] 6.535524e-02 6.574843e-02 6.614162e-02 6.653481e-02 6.692800e-02
[416] 6.732118e-02 6.771437e-02 6.810756e-02 6.850075e-02 6.889394e-02
[421] 6.928713e-02 6.968032e-02 7.007351e-02 7.046670e-02 7.085989e-02
[426] 7.125308e-02 7.164627e-02 7.203946e-02 7.243265e-02 7.282583e-02
[431] 7.321902e-02 7.361221e-02 7.400540e-02 7.439859e-02 7.479178e-02
[436] 7.518497e-02 7.557816e-02 7.597135e-02 7.636454e-02 7.675773e-02
[441] 7.715092e-02 7.754411e-02 7.793729e-02 7.833048e-02 7.872367e-02
[446] 7.911686e-02 7.951005e-02 7.990324e-02 8.029643e-02 8.068962e-02
[451] 8.108281e-02 8.147600e-02 8.186919e-02 8.226238e-02 8.265557e-02
[456] 8.304875e-02 8.344194e-02 8.383513e-02 8.422832e-02 8.462151e-02
[461] 8.501470e-02 8.540789e-02 8.580108e-02 8.619427e-02 8.658746e-02
[466] 8.698065e-02 8.737384e-02 8.776703e-02 8.816021e-02 8.855340e-02
[471] 8.894659e-02 8.933978e-02 8.973297e-02 9.012616e-02 9.051935e-02
[476] 9.091254e-02 9.130573e-02 9.169892e-02 9.209211e-02 9.248530e-02
[481] 9.287849e-02 9.327168e-02 9.366486e-02 9.405805e-02 9.445124e-02
[486] 9.484443e-02 9.523762e-02 9.563081e-02 9.602400e-02 9.641719e-02
[491] 9.681038e-02 9.720357e-02 9.759676e-02 9.798995e-02 9.838314e-02
[496] 9.877632e-02 9.916951e-02 9.956270e-02 9.995589e-02 1.003491e-01
[501] 1.007423e-01 1.011355e-01 1.015286e-01 1.019218e-01 1.023150e-01
[506] 1.027082e-01 1.031014e-01 1.034946e-01 1.038878e-01 1.042810e-01
[511] 1.046742e-01 1.050674e-01

$y
[1] 8.490362e-04 1.454778e-03 2.402501e-03 3.826806e-03 5.883461e-03
[6] 8.737121e-03 1.254143e-02 1.741218e-02 2.339621e-02 3.046655e-02
[11] 3.843083e-02 4.688956e-02 5.541929e-02 6.356286e-02 7.089590e-02
[16] 7.709171e-02 8.196990e-02 8.551621e-02 8.786719e-02 8.926122e-02
[21] 8.996591e-02 9.019864e-02 9.004698e-02 8.942365e-02 8.814423e-02
[26] 8.596095e-02 8.267185e-02 7.819956e-02 7.264407e-02 6.629899e-02
[31] 5.962915e-02 5.321473e-02 4.767290e-02 4.357068e-02 4.134236e-02
[36] 4.128857e-02 4.341559e-02 4.726266e-02 5.228270e-02 5.778089e-02
[41] 6.299769e-02 6.720173e-02 6.978041e-02 7.031493e-02 6.862843e-02
[46] 6.479925e-02 5.913758e-02 5.212961e-02 4.435684e-02 3.648381e-02
[51] 2.905300e-02 2.244045e-02 1.689279e-02 1.254561e-02 9.459004e-03
[56] 7.662043e-03 7.197884e-03 8.162302e-03 1.072980e-02 1.516284e-02
[61] 2.180100e-02 3.112881e-02 4.362553e-02 5.937215e-02 7.839062e-02
[66] 1.004187e-01 1.248591e-01 1.507660e-01 1.768785e-01 2.017050e-01
[71] 2.236522e-01 2.411900e-01 2.530305e-01 2.582999e-01 2.564546e-01
[76] 2.478079e-01 2.338696e-01 2.162454e-01 1.968544e-01 1.777305e-01
[81] 1.608227e-01 1.478215e-01 1.400274e-01 1.382709e-01 1.428848e-01
[86] 1.537197e-01 1.701928e-01 1.914689e-01 2.161771e-01 2.425951e-01
[91] 2.692191e-01 2.946335e-01 3.176502e-01 3.374427e-01 3.536513e-01
[96] 3.664339e-01 3.764408e-01 3.847041e-01 3.924504e-01 4.008598e-01
[101] 4.108827e-01 4.228795e-01 4.363432e-01 4.503401e-01 4.636370e-01
[106] 4.749771e-01 4.833590e-01 4.882598e-01 4.897539e-01 4.885066e-01
[111] 4.856436e-01 4.825291e-01 4.804994e-01 4.807154e-01 4.838293e-01
[116] 4.896694e-01 4.977891e-01 5.075192e-01 5.181511e-01 5.290904e-01
[121] 5.399524e-01 5.505849e-01 5.610240e-01 5.714000e-01 5.818244e-01
[126] 5.922882e-01 6.025808e-01 6.122618e-01 6.208810e-01 6.280682e-01
[131] 6.336838e-01 6.379251e-01 6.413711e-01 6.449484e-01 6.498224e-01
[136] 6.572297e-01 6.682885e-01 6.838268e-01 7.042725e-01 7.298089e-01
[141] 7.601179e-01 7.944966e-01 8.326540e-01 8.746079e-01 9.207484e-01
[146] 9.717940e-01 1.028652e+00 1.092210e+00 1.163098e+00 1.241465e+00
[151] 1.326812e+00 1.417896e+00 1.512772e+00 1.608397e+00 1.701483e+00
[156] 1.788888e+00 1.867714e+00 1.935594e+00 1.990932e+00 2.033085e+00
[161] 2.062463e+00 2.080550e+00 2.089826e+00 2.093598e+00 2.095733e+00
[166] 2.100600e+00 2.112642e+00 2.134757e+00 2.168967e+00 2.216161e+00
[171] 2.276167e+00 2.347980e+00 2.430110e+00 2.520976e+00 2.619262e+00
[176] 2.724174e+00 2.835564e+00 2.953918e+00 3.080634e+00 3.217427e+00
[181] 3.365559e+00 3.526825e+00 3.703127e+00 3.896433e+00 4.108722e+00
[186] 4.341886e+00 4.597602e+00 4.877202e+00 5.181569e+00 5.511073e+00
[191] 5.865573e+00 6.245413e+00 6.649560e+00 7.075369e+00 7.521121e+00
[196] 7.984831e+00 8.464250e+00 8.956886e+00 9.460018e+00 9.970713e+00
[201] 1.048582e+01 1.100194e+01 1.151531e+01 1.202176e+01 1.251591e+01
[206] 1.299186e+01 1.344519e+01 1.387168e+01 1.426875e+01 1.463634e+01
[211] 1.497766e+01 1.529957e+01 1.561262e+01 1.593043e+01 1.626866e+01
[216] 1.664356e+01 1.707039e+01 1.756500e+01 1.813722e+01 1.878710e+01
[221] 1.951378e+01 2.031310e+01 2.117854e+01 2.210209e+01 2.307476e+01
[226] 2.408678e+01 2.512744e+01 2.618466e+01 2.724466e+01 2.829182e+01
[231] 2.930685e+01 3.026967e+01 3.116617e+01 3.198434e+01 3.271705e+01
[236] 3.336275e+01 3.392535e+01 3.441319e+01 3.483737e+01 3.520958e+01
[241] 3.553982e+01 3.583434e+01 3.609417e+01 3.631201e+01 3.647480e+01
[246] 3.656869e+01 3.657687e+01 3.648405e+01 3.627896e+01 3.595622e+01
[251] 3.551736e+01 3.497080e+01 3.433090e+01 3.361622e+01 3.284731e+01
[256] 3.204452e+01 3.122614e+01 3.040856e+01 2.960219e+01 2.881314e+01
[261] 2.804445e+01 2.729670e+01 2.656856e+01 2.585726e+01 2.515902e+01
[266] 2.446941e+01 2.378392e+01 2.309844e+01 2.240994e+01 2.171672e+01
[271] 2.101952e+01 2.032118e+01 1.962542e+01 1.893627e+01 1.825725e+01
[276] 1.759064e+01 1.693702e+01 1.629516e+01 1.566230e+01 1.503472e+01
[281] 1.440864e+01 1.378112e+01 1.315087e+01 1.251973e+01 1.189240e+01
[286] 1.127563e+01 1.067763e+01 1.010697e+01 9.571586e+00 9.077710e+00
[291] 8.629141e+00 8.226813e+00 7.868761e+00 7.550482e+00 7.265602e+00
[296] 7.007587e+00 6.767941e+00 6.539316e+00 6.316935e+00 6.097592e+00
[301] 5.879492e+00 5.661883e+00 5.444596e+00 5.227601e+00 5.010707e+00
[306] 4.793462e+00 4.575307e+00 4.355927e+00 4.135785e+00 3.916937e+00
[311] 3.702770e+00 3.497757e+00 3.306949e+00 3.135257e+00 2.986721e+00
[316] 2.863889e+00 2.767410e+00 2.695906e+00 2.646117e+00 2.613282e+00
[321] 2.591671e+00 2.575117e+00 2.557032e+00 2.532494e+00 2.498014e+00
[326] 2.451479e+00 2.392140e+00 2.320471e+00 2.237932e+00 2.146670e+00
[331] 2.049214e+00 1.948199e+00 1.846134e+00 1.745242e+00 1.647579e+00
[336] 1.554593e+00 1.466869e+00 1.384613e+00 1.307557e+00 1.235046e+00
[341] 1.166173e+00 1.099955e+00 1.035527e+00 9.723084e-01 9.101234e-01
[346] 8.492385e-01 7.903120e-01 7.344723e-01 6.828164e-01 6.360630e-01
[351] 5.947833e-01 5.592505e-01 5.294700e-01 5.052513e-01 4.862918e-01
[356] 4.722462e-01 4.627584e-01 4.574507e-01 4.558735e-01 4.574401e-01
[361] 4.614378e-01 4.667097e-01 4.720803e-01 4.765496e-01 4.793655e-01
[366] 4.801480e-01 4.789360e-01 4.761370e-01 4.723858e-01 4.683402e-01
[371] 4.644631e-01 4.608443e-01 4.571097e-01 4.523341e-01 4.452827e-01
[376] 4.349330e-01 4.205454e-01 4.018829e-01 3.792945e-01 3.536869e-01
[381] 3.263970e-01 2.989891e-01 2.730134e-01 2.497681e-01 2.301022e-01
[386] 2.142941e-01 2.021573e-01 1.926151e-01 1.843127e-01 1.760068e-01
[391] 1.666538e-01 1.555774e-01 1.425613e-01 1.278606e-01 1.121380e-01
[396] 9.634821e-02 8.159455e-02 6.898712e-02 5.952301e-02 5.424636e-02
[401] 5.365757e-02 5.779207e-02 6.654722e-02 7.953819e-02 9.610942e-02
[406] 1.153627e-01 1.362080e-01 1.574384e-01 1.778253e-01 1.962229e-01
[411] 2.116684e-01 2.234623e-01 2.309947e-01 2.343320e-01 2.339423e-01
[416] 2.303788e-01 2.243656e-01 2.167364e-01 2.083732e-01 2.001429e-01
[421] 1.928328e-01 1.870851e-01 1.833351e-01 1.817599e-01 1.822445e-01
[426] 1.844192e-01 1.874284e-01 1.902861e-01 1.920081e-01 1.916850e-01
[431] 1.886135e-01 1.824080e-01 1.730763e-01 1.610433e-01 1.471170e-01
[436] 1.323973e-01 1.181405e-01 1.055973e-01 9.605709e-02 9.026081e-02
[441] 8.835637e-02 9.017790e-02 9.520051e-02 1.026305e-01 1.115180e-01
[446] 1.208753e-01 1.297856e-01 1.374894e-01 1.434390e-01 1.473173e-01
[451] 1.490211e-01 1.485068e-01 1.460253e-01 1.418535e-01 1.361748e-01
[456] 1.291367e-01 1.208614e-01 1.114723e-01 1.011267e-01 9.004205e-02
[461] 7.850669e-02 6.687170e-02 5.552311e-02 4.484122e-02 3.522935e-02
[466] 2.691384e-02 1.995727e-02 1.434935e-02 9.993861e-03 6.735773e-03
[471] 4.389610e-03 2.764664e-03 1.684199e-03 9.977781e-04 5.872357e-04
[476] 3.678971e-04 2.870219e-04 3.289132e-04 5.015785e-04 8.435612e-04
[481] 1.426828e-03 2.353850e-03 3.755544e-03 5.784155e-03 8.599133e-03
[486] 1.234513e-02 1.712275e-02 2.295492e-02 2.975383e-02 3.729534e-02
[491] 4.519517e-02 5.285714e-02 5.967336e-02 6.505917e-02 6.852308e-02
[496] 6.973795e-02 6.858935e-02 6.519215e-02 5.987227e-02 5.311741e-02
[501] 4.550646e-02 3.763070e-02 3.002112e-02 2.315252e-02 1.728209e-02
[506] 1.247441e-02 8.703825e-03 5.867528e-03 3.819468e-03 2.399251e-03
[511] 1.453395e-03 8.484705e-04

$bw
[1] 0.002094451

$n
[1] 2704

$call
density.default(x = mmm_return)

$data.name
[1] "mmm_return"

> plot(density_mmm_return)
> head(density_mmm_return$x, density_mmm_return$y)
Error in checkHT(n, dx <- dim(x)) :
invalid 'n' - must have length one when dim(x) is NULL, got 512
> plot(density_mmm_return$x, density_mmm_return$y)
> plot(density_mmm_return$x, density_mmm_return$y, xlab = return)
Error in title(...) :
cannot coerce type 'special' to vector of type 'character'
> plot(density_mmm_return$x, density_mmm_return$y, xlab = "return")
> plot(density_mmm_return$x, density_mmm_return$y, xlab = "return", ylab =
"density")
> plot(density_mmm_return$x, density_mmm_return$y, xlab = "return", ylab =
"density", type = "l")
> lines(x, normal_mmm_return)
Error in xy.coords(x, y) : objeto 'normal_mmm_return' no encontrado
> lines(x, norm_mmm_return)
> lines(x, norm_mmm_return, lty=2)
> data_ibmsp <- read.table("m-ibmsp-2611.txt", header = T)
> head(data_ibmsp)
data ibm sp
1 19260130 -0.010381 0.022472
2 19260227 -0.024476 -0.043956
3 19260331 -0.115591 -0.059113
4 19260430 0.089783 0.022688
5 19260528 0.036932 0.007679
6 19260630 0.068493 0.043184
> ibm_r <- log(data_ibmsp$ibm + 1)
> head(ibm_r)
[1] -0.01043526 -0.02478052 -0.12283565 0.08597859 0.03626635 0.06624924
> sp_r <- log(data_ibmsp$sp + 1)
> head(sp_r)
[1] 0.022223225 -0.044951342 -0.060932232 0.022434455 0.007649667
[6] 0.042277575
> return <- cbind(ibm_r, sp_r)
> head(return)
ibm_r sp_r
[1,] -0.01043526 0.022223225
[2,] -0.02478052 -0.044951342
[3,] -0.12283565 -0.060932232
[4,] 0.08597859 0.022434455
[5,] 0.03626635 0.007649667
[6,] 0.06624924 0.042277575
> mean(return$ibm_r)
Error in return$ibm_r : $ operator is invalid for atomic vectors
> mean(return[ ,1])
[1] 0.01130302
> mean(return[ ,2])
[1] 0.004381644
> m1 <- apply(return, 2, mean)
> m1
ibm_r sp_r
0.011303024 0.004381644
> v1 <- cov(return)
> v1
ibm_r sp_r
ibm_r 0.004849390 0.002469738
sp_r 0.002469738 0.003061590
> setwd("C:/Users/DOCENTE/Desktop/Aula2")
> data <- read.table("m-dec12910.txt", header=T)
> head(data)
date dec1 dec2 dec9 dec10
1 19670131 0.068568 0.080373 0.180843 0.211806
2 19670228 0.008735 0.011044 0.048767 0.064911
3 19670331 0.039698 0.035364 0.067494 0.068904
4 19670428 0.044030 0.037541 0.040785 0.044602
5 19670531 -0.050631 -0.036233 -0.002191 0.000295
6 19670630 0.014998 0.018870 0.102075 0.118678
> d10 <- data$dec10
> head(d10)
[1] 0.211806 0.064911 0.068904 0.044602 0.000295 0.118678
> tail(data)
date dec1 dec2 dec9 dec10
511 20090731 0.070912 0.085852 0.100511 0.107204
512 20090831 0.029726 0.035835 0.044097 0.081239
513 20090930 0.031177 0.049051 0.074140 0.069305
514 20091030 -0.012101 -0.038530 -0.080076 -0.074620
515 20091130 0.063006 0.051560 0.014429 0.010572
516 20091231 0.009555 0.047107 0.081933 0.074133
> dec10_ts <- ts(d10, frequency = 12, start=c(1967,1))
> head(dec10_ts)
[1] 0.211806 0.064911 0.068904 0.044602 0.000295 0.118678
> plot(dec10_ts)
> plot(dec10_ts, xlab="year", ylab="return")
> acf(dec10_ts, 24)
> acf_dec10 <- acf(dec10_ts, 24)
> acf_dec10_ts
Error: objeto 'acf_dec10_ts' no encontrado
> acf_dec10

Autocorrelations of series ‘dec10_ts’, by lag

0.0000 0.0833 0.1667 0.2500 0.3333 0.4167 0.5000 0.5833 0.6667 0.7500 0.8333
1.000 0.227 -0.019 -0.021 0.011 0.003 -0.028 -0.017 -0.049 -0.040 0.013
0.9167 1.0000 1.0833 1.1667 1.2500 1.3333 1.4167 1.5000 1.5833 1.6667 1.7500
0.061 0.130 -0.037 -0.082 -0.021 0.017 -0.014 -0.059 -0.082 -0.064 -0.040
1.8333 1.9167 2.0000
0.018 -0.015 0.052
> acf_dec10$acf
, , 1

[,1]
[1,] 1.000000000
[2,] 0.227386585
 [3,] -0.019026447
[4,] -0.021258247
[5,] 0.011011345
[6,] 0.002676057
[7,] -0.027654887
[8,] -0.016910608
[9,] -0.049183690
[10,] -0.039617756
[11,] 0.013265549
[12,] 0.061013220
[13,] 0.130411045
[14,] -0.036881195
[15,] -0.082462743
[16,] -0.020950139
[17,] 0.016726386
[18,] -0.013961209
[19,] -0.059422809
[20,] -0.082246074
[21,] -0.063641596
[22,] -0.039858376
[23,] 0.017770989
[24,] -0.015413528
[25,] 0.052212082

> acf_dec10 <- acf(dec10_ts, 24)

> acf_dec10$acf
, , 1

[,1]
[1,] 1.000000000
[2,] 0.227386585
[3,] -0.019026447
[4,] -0.021258247
[5,] 0.011011345
[6,] 0.002676057
[7,] -0.027654887
[8,] -0.016910608
[9,] -0.049183690
[10,] -0.039617756
[11,] 0.013265549
[12,] 0.061013220
[13,] 0.130411045
[14,] -0.036881195
[15,] -0.082462743
[16,] -0.020950139
[17,] 0.016726386
[18,] -0.013961209
[19,] -0.059422809
[20,] -0.082246074
[21,] -0.063641596
[22,] -0.039858376
[23,] 0.017770989
[24,] -0.015413528
[25,] 0.052212082