Ｄ社株価001 - waseda2bun_r @ ウィキ

 ・ケイ線分析

d <- read.table("docomo2008-2010.csv",sep=",",skip=1) ts.d <- ts(d,start=c(2008),frequency=246) cp <- ts.d[,5] par(mfrow=c(1,2)) acf(cp) pacf(cp) w200 <- rep(1,200)/200 H200 <- filter(cp,filter=w200,sides=1) ttl <- "Clothing price of DCM and 200dys MA" sub <- "2008/10/15-2010/10/15" ts.plot(cp,H200,type="l",main=ttl,sub=sub,lty=c(1,2)) dcm_cp <- decompose(cp,type="multiplicative");plot(dcm_cp)

・予測

参考：p.105ff,田中孝文[2008]

dcm_cp <- decompose(cp,type="multiplicative");plot(dcm_cp) d_tc <- dcm_cp$trend n <- length(d_tc);time <- seq(1:n) kaiki1 <- lm(d_tc~time) TRND1 <- ts(kaiki1$fitted,start=c(2008),frequency=246) alpha <- kaiki1$coef[1] beta <- kaiki1$coef[2] time2 <- seq(n-1,n+12) Yhat <- ts((alpha+beta*time2),start=c(2008),frequency=246) par(mfrow=c(2:1)) ttl2 <- "回帰トレンドによる予測" ts.plot(d_tc,TRND1,Yhat,lty=c(1:3),main=ttl2) ss <- dcm_cp$figure;sss <- c(ss[3],ss[4],ss[1],ss[2]) Yhat2 <- ts(c(TRND1,Yhat)*sss,start=c(2008),frequency=246) ttl3 <- "季節性を加えた場合" ts.plot(cp,Yhat2,lty=c(1:2),main=ttl3)