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Author: anshusingh43

Homework4.R

@@ -0,0 +1,54 @@
+install.packages("data.table")
+library("data.table")
+getwd()
+setwd("C:/Users/anshu/Desktop/UNCC Courses/Advanced Business Analytics/Homework4 - Time Series Analysis")
+data <- fread("ATT_Twitter.csv", sep=",", header=T, strip.white = T, na.strings = c("NA","NaN","","?"))
+head(data)
+install.packages("ts", repos = "https://cran.r-project.org")
+install.packages("forecast", repos = "https://cran.r-project.org")
+library(forecast)
+x = ts(data[,2], frequency = 24) 
+x
+plot(x)
+PP.test(x)
+par(mfrow = c(1,2))
+acf(x,main='ACF ATT_Twitter')
+pacf(x,main='PACF ATT_Twitter')
+library(forecast)
+ARIMAfit = auto.arima(x, approximation=FALSE,trace=TRUE)
+summary(ARIMAfit)
+install.packages("quantmod", repos = "https://cran.r-project.org")
+install.packages("lattice", repos = "https://cran.r-project.org")
+install.packages("timeSeries", repos = "https://cran.r-project.org")
+install.packages("rugarch", repos = "https://cran.r-project.org")
+
+library(quantmod)
+library(lattice)
+library(timeSeries)
+library(rugarch)
+#getSymbols("^GSPC", verbose=TRUE)   
+par(mfrow = c(1,1))
+plot(x)
+
+# for (0,1)
+spec1=ugarchspec(variance.model=list(model="sGARCH"),
+                 mean.model=list(armaOrder=c(0,1)))
+fit1=ugarchfit(data=x ,spec=spec1)
+show(fit1)
+
+#for (0,0)
+spec2=ugarchspec(variance.model=list(model="sGARCH"),
+                 mean.model=list(armaOrder=c(0,0)))
+fit2=ugarchfit(data=x,spec=spec2)
+show(fit2)
+
+
+spec3=ugarchspec(variance.model=list(model="apARCH"),
+                 mean.model=list(armaOrder=c(0,0)))
+fit3=ugarchfit(data=x,spec=spec3)
+show(fit3)
+
+spec4=ugarchspec(variance.model=list(model="apARCH"),
+                 mean.model=list(armaOrder=c(0,1)))
+fit4=ugarchfit(data=x,spec=spec4)
+show(fit4)