session 5

Assignment 1

1)Find returns of NSE data of greater than 6 months having selected the 10th data point as start and 95th data point as end.
2)Find plot of the return.


>z<-read.csv(file.choose(),header=T)

>head(z)

>close<-z$Close

>close

>close.ts<-ts(close)

>close.ts<-ts(close,deltat=1/12)

>close.ts<-ts(close,deltat=1/252)

>z.diff<-diff(close.ts)

>z.diff

>Returns<-cbind(close.ts,z.diff,lag(close.ts,k=-1)

>Returns

>plot(Returns)

>Returns<-z.diff/lag(close.ts,k=-1)

>plot(Returns)

 Assignment 2 question

1-700 data is available, Predict the data from 701-850, use the GLM estimation using LOGIT Analysis for the same.

> z<-read.csv(file.choose(),header=T)

> y<-z[1:700,1:9]

> head(y) 

> sapply(y,mean)

> y$ed<-factor(y$ed)

> y.est<-glm(default~age+ed+employ+address+income+debtinc+creddebt+othdebt,data=y,family="binomial")

> summary(y.est)

> confint.default(y.est)

> y2<-with(y,data.frame(age=mean(age),employ=mean(employ),address=mean(address),income=mean(income),debtinc=mean(debtinc),creddebt=mean(creddebt),othdebt=mean(othdebt),ed=factor(1:4)))

> y2$prob<-predict(y.est,newdata=y2,type="response")

> head(y2)