ITBAL Session 4

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 that return

SOLUTION:

commands:

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

close<-z$Close                                       

close

close.ts<-ts(close)                                 

close.ts

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

z1<-ts(data=close.ts[10:95],frequency=1,deltat=1/252)

z1.ts<-ts(z1)

z1.ts

z1.diff<-diff(z1)

z1.diff

zlag<-lag(close.ts,k=-1)

returns<-cbind(z1.ts,z1.diff)

returns

returns<-z1.diff

plot(returns,main="returns from 10th to 95th data")

Pic1:

 

Pic2:

 

Pic3:

GRAPH PLOT:

ASSIGNMENT 2:

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

SOLUTION:

Commands:

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

Readdata1<-Readdata[1:700,1:9]

Readdata1$ed<-factor(Readdata1$ed)

Readdata1.est<-glm(default~age+ed+employ+address+income+debtinc+creddebt+othdebt,data=Readdata1,family="binomial")

 summary(Readdata1.est)

Forecast<-Readdata[701:850,1:8]

Forecast$ed<-factor(Forecast$ed)

Forecast$prob<-predict(Readdata1.est,newdata=Forecast,type="response")

head(Forecast)

PIC1

PIC2