#EE435 Wasin Siwasarit  Lecture4
setwd("/Users/mew/Desktop")
cat(rep("\n",50))  #clear R Console
#install.packages("quantmod")  
#install.packages("fBasics") 
#install.packages("sn")  
#install.packages("PerformanceAnalytics") 
#install.packages("car") 
#install.packages("tseries")  
#install.packages("forecast") 
library(quantmod) 
library(fBasics)
library(sn)
library(PerformanceAnalytics)
library(car)
library(tseries)
library(forecast)
#1
da=read.table("q.gdpmc1.txt" ,header = TRUE)
gdp=da[,4]
loggdp=log(gdp)
growth=diff(loggdp)
length(growth)
tdx=c(1:263)/4+1946
plot(tdx,growth,xlab='year',ylab='growth',type='l')
basicStats(growth)

t.test(growth)

Box.test(growth,lag = 12, type = 'Ljung')

#2
da2=read.table("d-amzn3dx.txt" ,header = TRUE)
simplereturnA=da2[,2]
basicStats(simplereturnA)

simplereturnV=da2[,3]
basicStats(simplereturnV)

simplereturnE=da2[,4]
basicStats(simplereturnE)

simplereturnS=da2[,5]
basicStats(simplereturnS)

logreturnA = log(simplereturnA+1)
basicStats(logreturnA)

logreturnV = log(simplereturnV+1)
basicStats(logreturnV)

logreturnE = log(simplereturnE+1)
basicStats(logreturnE)

logreturnS = log(simplereturnS+1)
basicStats(logreturnS)

t.test(logreturnA)

hist(logreturnA, breaks = 40, col = 'slateblue')
chart.Histogram(logreturnA,methods = c("add.normal"))

#3
da3=read.table("m-abt3dx.txt" ,header = TRUE)

monthlyreturnABT=da3[,2]
basicStats(monthlyreturnABT)

monthlyreturnVW=da3[,3]
basicStats(monthlyreturnVW)

monthlyreturnEW=da3[,4]
basicStats(monthlyreturnEW)

monthlyreturnS=da3[,5]
basicStats(monthlyreturnS)

logreturnABT = log(monthlyreturnABT+1)
basicStats(logreturnABT)

logreturnVW = log(monthlyreturnVW+1)
basicStats(logreturnVW)

logreturnEW = log(monthlyreturnEW+1)
basicStats(logreturnEW)

logreturnSP = log(monthlyreturnS+1)
basicStats(logreturnSP)

t.test(logreturnABT)

hist(logreturnABT, breaks = 40, col = 'slateblue')
chart.Histogram(logreturnA,methods = c("add.normal"))

#4
t.test(logreturnVW)

T=length(logreturnVW)
T
M3=skewness(logreturnVW)
M3
tst=M3/sqrt(6/T)
tst
pv=2*pnorm(tst)
pv

K=kurtosis(logreturnVW)
K
tstk=K/sqrt(24/T)
tstk
pv=2*(1-pnorm(tstk))
pv

#5
T1=length(logreturnA)
T1
M3A=skewness(logreturnA)
M3A
tst=M3A/sqrt(6/T1)
tst
pv=2*(1-pnorm(tst))
pv

K1=kurtosis(logreturnA)
K1
tstk=K1/sqrt(24/T1)
tstk
pv=2*(1-pnorm(tstk))
pv

t.test(logreturnA)

m3=acf(logreturnA)
names(m3)
m3$acf

m4=pacf(logreturnA)
names(m4)
m4$acf

Box.test(logreturnA,lag = 12,type = "Ljung")

#6
da4=read.table("d-exuseu.txt" ,header = TRUE)
returnX=da4[,4]
logreturnX=diff(log(returnX))
logreturnX

basicStats(logreturnX)

chart.Histogram(logreturnX,methods = c("add.normal"))

t.test(logreturnX)