Session - 5/2/2012

Assignment 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.

Commands:


  z<-read.csv(file.choose(),header=T)
 Close<-z$Close
 Close
 Close.ts<-ts(Close)
 Close.ts<-ts(Close,deltat= 1/252)
 Interval<-ts(data=Close.ts[10:95],frequency=1,deltat=1/252)
 z1.ts<-ts(Interval)
 z1.ts
 z1.diff<-diff(z1)
 z2<-lag(Close.ts,K=-1)
 Returns<-z1.diff/z2
 plot(Returns,main=" Returns from 10 th to 95th day of NSE Mid-cap Index ")
 z3<-cbind(z1.ts,z1.diff,Returns)
 plot(z3,main=" Data from 10th-95th day ; Difference ; Returns")

Assignment 2

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)
 data1<-z[1:700,1:9]
 head(data1)
 data1$ed<-factor(data1$ed)
 data.est<-glm(default ~ age + ed + employ + address + income, data=data1, family ="binomial")
 summary(data.est)
 return<-z[701:850,1:8]
 return$ed<-factor(return$ed)
 return$probability<-predict(data.est,newdata=return,type="response")
 head(return)