BA Lab, Assignment for Feb 5,2013

R Statistical Tool Assignment-4

Assignment 1: 

Reading a particular data set and then converting it  into a time series format and then calculating the returns from it.Data set- CNX Mid-cap Index downloaded from NSE from August, 2012-January, 2013-10th reading to 95th reading. 

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

> Close<-z$Close

> Close

> Close.ts<-ts(Close)

> 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)

> 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

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

commands:

> z<-read.csv(file.choose(),header=T)
> z1<-z[1:700,1:9]
> head(z1)
> z1$ed<-factor(z1$ed)
> z1.est<-glm(default ~ age + ed + employ + address + income, data=z1, family ="binomial")
> summary(z1.est)

> forecast<-z[701:850,1:8]

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

> forecast$probability<-predict(z1.est,newdata=forecast,type="response")

> head(forecast)