#2
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)
library(fGarch)
getSymbols("ETH-USD",from="2015-01-01",to="2021-05-24")
head(`ETH-USD`)
tail(`ETH-USD`)
dim(`ETH-USD`)
rt=diff(log(as.numeric(`ETH-USD`[,6])))
ts.plot(rt)
rate=na.omit(rt)
ts.plot(rate)
#
acf(rate)
pacf(rate , lag.max = 20)
t.test(rate)
Box.test(rate, lag=10, type = 'Ljung' )
#
acf(rate^2)
Box.test(rate^2, lag=10, type = 'Ljung' )
#
m0=auto.arima(rate)
summary(m0)
acf(m0$residuals^2)
Box.test(m0$residuals^2, lag=10, type = 'Ljung' )
predict(m0,5)
#
m1=garchFit(~garch(1,1), data = rate, trace = FALSE)
summary(m1)
predict(m1,5)
plot(m1, which = 13)
#
m2=garchFit(~garch(1,1), data = rate, cond.dist = "std", trace = FALSE)
summary(m2)
predict(m2,5)
plot(m2, which = 13)
#
m3=garchFit(~arma(2,2)+garch(1,1), data = rate, trace = FALSE)
summary(m3)
predict(m3,5)
plot(m3, which = 13)