IT and Business Application lab : Assignment 5

Problem I:

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

Solutions:

Commands:

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

head(z)

open<-z$Open[10:95]

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

open.ts

summary(open.ts)

z.diff<-diff(open.ts)

z.diff

returns<-cbind(open.ts,z.diff,lag(open.ts,k=-1))

returns

returns<-z.diff/lag(open.ts,k=-1)

returns

plot(returns)

Problem II

Do logit analysis for 700 data points and predict the probability for the next 150 data points.

Solutions:

Commands

z<-read.csv(file.choose(),header=T)
Readdata<-z[1:700,1:9]
Readdata$ed<-factor(Readdata$ed)
Readdata.est<-glm(default~age+ed+employ+address+income+debtinc+creddebt+othdebt,data=Readdata,family="binomial")
summary(Readdata.est)
Forecast<-z[701:850,1:8]
Forecast$ed<-factor(Forecast$ed)
Forecast$prob<-predict(Readdata.est,newdata=Forecast,type="response")
head(Forecast)