setwd("C:/Users/lenovo/OneDrive/เอกสาร")
cat(rep("\n",50))
install.packages("Quandl")
library(quantmod) 
library(fBasics)
library(fGarch)
library(fUnitRoots)
library(fGarch)
library(readxl)
library(Quandl)
library(quantmod)
library(sn)
library(PerformanceAnalytics)
library(car)
library(tseries)
library(forecast)
getSymbols('DOGE-USD', from = "2015-01-01", to = "2021-05-24" )
`DOGE-USD` = na.omit(`DOGE-USD`)
Bitcoin = Ad(`DOGE-USD`)
colnames(Bitcoin) = "adj_Bitcoin"
lisa = diff(log((Bitcoin)))
lisa = na.omit(lisa)
t.test(lisa)
acf(lisa)
acf(lisa^2)
pacf(lisa^2)
Box.test(lisa,lag=1,type='Ljung')
Box.test(lisa^2,lag=1,type='Ljung')
pacf(lisa)
BLACKPINK=arima(lisa,order=c(0,0,2))
acf(BLACKPINK$residuals^2)
Box.test(BLACKPINK$residuals^2,lag=2,type='Ljung')
#THERE IS AN ARCH EFFECT
vichny=garchFit(~arma(0,2)+garch(1,1),data=lisa,trace=F)
summary(vichny)
#plot(vichny)
predict(vichny,6)