We encourage you to go beyond books, be a self-learner current stock price
> IBM.ret <- diff(log(Ad(IBM)))
> AMZN.ret <- diff(log(Ad(AMZN)))
> AAPL.ret <- diff(log(Ad(AAPL)))
> dataDaily <- na.omit(merge(IBM.ret,AAPL.ret,AMZN.ret), join='inner')
> IBM.M <- to.monthly(IBM.ret)$IBM.ret.Close
Warning message:
In to.period(x, "months", indexAt = indexAt, name = name, ...) :
missing values removed from data
> AAPL.M <- to.monthly(AAPL.ret)$AAPL.ret.Close
Warning message:
In to.period(x, "months", indexAt = indexAt, name = name, ...) :
missing values removed from data
> AMZN.M <- to.monthly(AMZN.ret)$AMZN.ret.Close
Warning message:
In to.period(x, "months", indexAt = indexAt, name = name, ...) :
missing values removed from data
> var1 <- VAR(dataDaily, lag.max=4, ic="AIC")
> VARselect(dataDaily,lag.max=4)
$`selection`
AIC(n) HQ(n) SC(n) FPE(n)
$criteria
1 2
AIC(n) -2.528121e+01 -2.527417e+01
HQ(n) -2.526298e+01 -2.524226e+01
SC(n) -2.523267e+01 -2.518922e+01
FPE(n) 1.048363e-11 1.055769e-11
3 4
AIC(n) -2.526536e+01 -2.526026e+01
HQ(n) -2.521978e+01 -2.520101e+01
SC(n) -2.514401e+01 -2.510251e+01
FPE(n) 1.065113e-11 1.070561e-11
> summary(var1)
VAR Estimation Results:
=========================
Endogenous variables: IBM.Adjusted, AAPL.Adjusted, AMZN.Adjusted
Deterministic variables: const
Sample size: 1276
Log Likelihood: 10711.237
Roots of the characteristic polynomial:
0.05169 0.05169 0.009474
Call:
VAR(y = dataDaily, lag.max = 4, ic = "AIC")
Estimation results for equation IBM.Adjusted:
=============================================
IBM.Adjusted = IBM.Adjusted.l1 + AAPL.Adjusted.l1 + AMZN.Adjusted.l1 + const
Estimate Std. Error t value
IBM.Adjusted.l1 7.695e-03 3.047e-02 0.253
AAPL.Adjusted.l1 2.014e-02 2.670e-02 0.754
AMZN.Adjusted.l1 -2.083e-02 2.080e-02 -1.001
const -9.589e-05 3.600e-04 -0.266
Pr(>|t|)
IBM.Adjusted.l1 0.801
AAPL.Adjusted.l1 0.451
AMZN.Adjusted.l1 0.317
const 0.790
Residual standard error: 0.01283 on 1272 degrees of freedom
Multiple R-Squared: 0.0009676, Adjusted R-squared: -0.001389
F-statistic: 0.4107 on 3 and 1272 DF, p-value: 0.7454
Estimation results for equation AAPL.Adjusted:
==============================================
AAPL.Adjusted = IBM.Adjusted.l1 + AAPL.Adjusted.l1 + AMZN.Adjusted.l1 + const
Estimate Std. Error t value
IBM.Adjusted.l1 -0.0698779 0.0368939 -1.894
AAPL.Adjusted.l1 0.0493759 0.0323329 1.527
AMZN.Adjusted.l1 -0.0249677 0.0251870 -0.991
const 0.0007098 0.0004358 1.629
Pr(>|t|)
IBM.Adjusted.l1 0.0584 .
AAPL.Adjusted.l1 0.1270
AMZN.Adjusted.l1 0.3217
const 0.1036
---
Signif. codes:
0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.01553 on 1272 degrees of freedom
Multiple R-Squared: 0.004477, Adjusted R-squared: 0.002129
F-statistic: 1.907 on 3 and 1272 DF, p-value: 0.1266
Estimation results for equation AMZN.Adjusted:
==============================================
AMZN.Adjusted = IBM.Adjusted.l1 + AAPL.Adjusted.l1 + AMZN.Adjusted.l1 + const
Estimate Std. Error t value
IBM.Adjusted.l1 -0.0405055 0.0464059 -0.873
AAPL.Adjusted.l1 -0.0343080 0.0406689 -0.844
AMZN.Adjusted.l1 0.0293657 0.0316807 0.927
const 0.0011135 0.0005482 2.031
Pr(>|t|)
IBM.Adjusted.l1 0.3829
AAPL.Adjusted.l1 0.3991
AMZN.Adjusted.l1 0.3541
const 0.0424 *
---
Signif. codes:
0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.01954 on 1272 degrees of freedom
Multiple R-Squared: 0.001647, Adjusted R-squared: -0.0007075
F-statistic: 0.6995 on 3 and 1272 DF, p-value: 0.5524
Covariance matrix of residuals:
IBM.Adjusted AAPL.Adjusted
IBM.Adjusted 1.646e-04 7.034e-05
AAPL.Adjusted 7.034e-05 2.413e-04
AMZN.Adjusted 7.705e-05 1.331e-04
AMZN.Adjusted
IBM.Adjusted 7.705e-05
AAPL.Adjusted 1.331e-04
AMZN.Adjusted 3.817e-04
Correlation matrix of residuals:
IBM.Adjusted AAPL.Adjusted
IBM.Adjusted 1.0000 0.3530
AAPL.Adjusted 0.3530 1.0000
AMZN.Adjusted 0.3074 0.4387
AMZN.Adjusted
IBM.Adjusted 0.3074
AAPL.Adjusted 0.4387
AMZN.Adjusted 1.0000
> plot(var1)
Hit <Return> to see next plot:
Hit <Return> to see next plot:
> coef(var1)
$`IBM.Adjusted`
Estimate Std. Error
IBM.Adjusted.l1 7.695475e-03 0.0304719896
AAPL.Adjusted.l1 2.014116e-02 0.0267048665
AMZN.Adjusted.l1 -2.082584e-02 0.0208028064
const -9.588706e-05 0.0003599562
t value Pr(>|t|)
IBM.Adjusted.l1 0.2525426 0.8006625
AAPL.Adjusted.l1 0.7542131 0.4508608
AMZN.Adjusted.l1 -1.0011073 0.3169654
const -0.2663853 0.7899856
$AAPL.Adjusted
Estimate Std. Error
IBM.Adjusted.l1 -0.0698779228 0.0368939062
AAPL.Adjusted.l1 0.0493759288 0.0323328688
AMZN.Adjusted.l1 -0.0249676571 0.0251869602
const 0.0007097745 0.0004358164
t value Pr(>|t|)
IBM.Adjusted.l1 -1.894023 0.0584486
AAPL.Adjusted.l1 1.527113 0.1269816
AMZN.Adjusted.l1 -0.991293 0.3217311
const 1.628609 0.1036434
$AMZN.Adjusted
Estimate Std. Error
IBM.Adjusted.l1 -0.040505537 0.0464059116
AAPL.Adjusted.l1 -0.034307962 0.0406689453
AMZN.Adjusted.l1 0.029365666 0.0316806749
const 0.001113543 0.0005481788
t value Pr(>|t|)
IBM.Adjusted.l1 -0.8728530 0.38290797
AAPL.Adjusted.l1 -0.8435911 0.39905653
AMZN.Adjusted.l1 0.9269268 0.35414038
const 2.0313493 0.04242714
> residuals(var1)
IBM.Adjusted AAPL.Adjusted AMZN.Adjusted
1 -3.017757e-03 6.145565e-03 -8.634108e-03
2 1.961459e-02 -8.573149e-03 1.025876e-02
3 -8.894521e-03 7.615025e-03 8.839494e-03
4 -2.901300e-03 -1.427477e-02 -3.822510e-03
5 -3.089095e-04 -7.046474e-03 -1.000425e-02
6 -1.663195e-02 4.588154e-03 -1.806378e-02
7 9.277604e-03 1.714567e-02 1.552607e-02
8 9.713757e-03 1.927544e-02 -4.750664e-03
9 4.951536e-03 -6.710876e-03 -9.022745e-05
10 7.184331e-03 -2.486594e-02 8.499207e-03
11 -8.030072e-03 1.666192e-02 1.648543e-02
12 -3.311018e-02 2.810432e-03 -7.666957e-03
13 2.764780e-03 5.018864e-03 -1.374170e-02
14 -1.739097e-02 -1.957736e-02 -3.154232e-02
15 -9.785648e-03 6.306335e-03 -4.929952e-03
16 -5.982705e-03 -8.517692e-02 1.974878e-02
17 -2.934751e-04 -7.906424e-03 -3.110279e-02
18 5.225400e-03 -2.919226e-03 4.696136e-02
19 -2.752638e-03 2.598086e-03 -1.188667e-01
20 -2.396064e-02 -2.112044e-03 -3.337802e-02
21 -8.633872e-04 1.117104e-02 4.305777e-03
22 7.984589e-03 6.126645e-03 -5.107118e-03
23 7.726079e-03 4.176630e-02 2.281902e-02
24 1.432737e-02 1.222425e-02 1.811733e-02
25 -5.398279e-04 1.783795e-02 -1.157341e-03
26 1.407921e-02 1.144562e-02 2.033765e-03
27 2.775370e-03 -3.644126e-04 -3.543400e-02
28 8.177237e-03 1.437705e-02 2.254923e-02
29 1.030182e-02 -1.116241e-03 -4.562066e-04
30 -2.682309e-03 3.717678e-03 -1.115158e-02
31 -1.484921e-03 -1.725503e-02 -1.868080e-02
32 7.188878e-03 -1.210499e-02 5.754919e-03
33 -7.590066e-03 -1.063323e-02 -1.015644e-02
34 3.805115e-03 3.433727e-03 1.280815e-02
35 -9.204818e-04 -1.077603e-02 1.718078e-02
36 5.219070e-03 -8.880220e-03 2.059846e-03
37 6.881796e-03 1.990822e-02 -4.456443e-04
38 -8.728910e-04 -3.918305e-03 5.257925e-03
39 -4.658305e-03 2.407119e-03 -7.816415e-03
40 1.170343e-02 5.215293e-03 1.036097e-02
41 3.857840e-03 2.177909e-03 2.226286e-02
42 3.171872e-03 -3.006103e-03 -2.129247e-03
43 3.377487e-04 -9.722432e-04 -1.361569e-03
44 -6.796770e-03 2.317845e-04 -5.237781e-03
45 2.028129e-03 8.351315e-03 -5.866548e-03
46 -3.106610e-03 -1.957718e-04 4.357631e-03
47 -1.233531e-02 -1.200568e-02 1.002396e-03
48 -8.765892e-03 -1.227099e-02 3.911174e-03
49 2.008357e-02 3.251683e-03 1.421624e-03
50 5.306673e-03 9.359671e-03 9.607162e-03
51 -1.122180e-02 -7.858844e-04 -1.561880e-02
52 1.700407e-02 -6.685146e-03 -1.262735e-02
53 -6.744943e-03 8.294480e-03 -2.313918e-02
54 7.939864e-03 9.662861e-03 -2.505763e-02
55 3.471450e-02 9.381594e-03 8.450917e-03
56 -1.270908e-02 -8.165683e-03 -3.192439e-02
57 -1.487916e-02 -6.223594e-03 -1.548771e-02
58 3.253726e-03 -2.995153e-03 -1.958733e-03
59 1.073711e-02 -6.640153e-04 -6.695977e-03
60 1.028772e-02 9.010123e-03 1.896703e-02
61 -4.657952e-03 1.713288e-03 -3.960196e-03
62 -4.415748e-03 -8.163089e-03 -2.585774e-02
63 -5.029817e-03 -1.431499e-02 -3.315772e-02
64 1.395927e-02 -1.703440e-02 -1.716004e-02
65 -6.378644e-03 6.010741e-04 2.827837e-02
66 1.793017e-02 1.262864e-02 1.216783e-02
67 -4.893640e-03 -1.277623e-02 -4.570591e-02
68 -3.055780e-03 -8.962609e-03 -1.753768e-02
69 1.303960e-02 3.030190e-03 1.235272e-02
70 -3.607566e-03 -6.812272e-03 -2.984618e-04
71 -2.871483e-03 1.416604e-03 2.223128e-02
72 -3.250240e-02 1.092405e-02 1.923415e-03
73 1.202453e-02 8.310856e-03 1.600236e-02
74 -4.783706e-04 9.851297e-04 -5.459214e-03
75 -2.205229e-03 -1.407753e-02 -1.546466e-02
76 -7.831374e-03 7.821951e-02 3.676808e-02
77 -3.745454e-03 3.113467e-03 -1.039059e-01
78 1.614586e-02 3.411032e-02 -2.208388e-02
79 8.834574e-03 -4.873921e-03 1.437356e-02
80 7.289282e-03 -3.325286e-03 1.122877e-02
81 -1.470040e-02 2.625389e-03 1.096087e-02
82 -1.043755e-02 2.850966e-04 -1.614712e-03
83 -7.906473e-04 1.249214e-02 5.100200e-03
84 -6.494063e-03 -1.226315e-02 -4.258646e-02
85 1.454008e-03 -5.166531e-03 -1.635412e-02
86 -2.240552e-03 3.150722e-02 -1.580106e-02
87 5.320752e-03 -7.001519e-03 1.385925e-02
88 1.342822e-02 1.263810e-02 3.429199e-02
89 -1.485387e-03 2.047426e-03 4.650096e-03
90 -1.801840e-02 -5.938584e-04 -2.462518e-02
91 -1.230076e-02 -1.111371e-02 -9.358858e-03
92 3.402425e-03 1.331560e-02 6.813320e-03
93 -3.684184e-04 1.078221e-02 -3.891979e-03
94 -1.155200e-02 -1.194328e-03 1.418800e-02
95 8.567839e-03 1.500017e-03 1.060181e-02
96 -3.573624e-03 1.621084e-03 -1.393631e-03
97 1.486196e-03 1.017033e-02 2.255120e-02
98 -5.904641e-03 1.797899e-02 -5.927161e-03
99 -9.567520e-03 -4.769553e-03 -2.722369e-03
100 3.882628e-03 1.677603e-02 1.008933e-02
101 3.205117e-03 -4.805219e-03 -4.612307e-03
102 7.252724e-03 -7.290651e-03 -1.293600e-02
103 -7.203260e-03 1.387719e-02 -6.065185e-03
104 5.152393e-04 9.318895e-03 -2.099019e-03
105 7.769096e-03 2.665105e-03 5.263058e-02
106 3.160542e-03 -1.771423e-03 1.645420e-02
107 -2.811359e-04 1.591342e-02 -8.275737e-03
108 -1.077341e-02 4.137901e-03 1.447350e-02
109 -1.076282e-02 -5.501809e-03 6.586506e-03
110 -5.228676e-03 -1.794272e-02 -3.005824e-02
111 7.260887e-03 -1.197870e-02 7.452738e-06
112 -8.669302e-04 1.040418e-02 2.904076e-03
113 -5.050304e-04 -2.484495e-03 -7.060703e-03
114 7.323971e-03 2.526401e-04 2.554864e-02
115 -3.687191e-03 -3.066308e-03 -2.387706e-02
116 -7.236805e-03 -1.178848e-02 -9.349458e-03
117 3.424064e-03 -1.778773e-03 7.833151e-03
118 -6.658560e-03 -6.279996e-03 -1.074300e-02
119 -8.104674e-04 -2.453982e-04 8.742222e-03
120 -1.643916e-03 5.394340e-03 -6.773476e-03
121 7.280952e-03 1.053800e-02 -4.275040e-03
122 -2.695163e-03 9.413431e-03 3.394223e-04
123 2.756014e-02 4.958384e-03 2.228278e-02
124 1.112570e-02 1.059694e-03 9.259151e-04
125 7.921720e-04 5.972886e-03 1.311608e-02
126 -2.341876e-03 1.982028e-02 -1.303185e-02
127 -4.910196e-03 -8.674777e-03 -2.980928e-02
128 6.031751e-03 -1.015685e-03 1.820217e-02
129 -3.397887e-03 -3.489357e-03 -7.625789e-03
130 1.666802e-03 9.406563e-04 5.303524e-02
131 1.102000e-02 1.349757e-02 2.342520e-02
132 -6.938492e-03 -1.179120e-02 -3.517738e-03
133 2.066078e-02 -6.377351e-03 2.372327e-03
134 8.152443e-04 -1.689794e-02 -1.034694e-02
135 3.019117e-04 1.427462e-02 1.604870e-02
136 -8.436890e-03 -6.178111e-03 1.928275e-03
137 1.716481e-02 7.290813e-03 1.266832e-03
138 -2.510615e-03 2.587568e-02 -7.746627e-03
139 7.719848e-03 -3.981641e-03 1.205466e-03
140 -4.219141e-03 6.557040e-03 -1.023342e-01
141 4.957397e-03 9.858296e-03 -9.256153e-03
142 -6.667212e-03 -7.656410e-03 -1.308404e-03
143 -2.686411e-03 -3.195445e-03 6.263664e-03
144 -1.175461e-02 -2.692835e-02 -3.150509e-02
145 -1.313980e-02 4.526229e-03 -2.075426e-02
146 2.275169e-03 -8.018249e-03 2.033629e-02
147 -1.285254e-02 -4.649555e-03 -6.074944e-03
148 4.892800e-05 -3.198538e-03 3.310287e-03
149 -8.784964e-03 -6.183805e-04 -9.128904e-03
150 1.256792e-02 1.218374e-03 1.577839e-02
151 4.789710e-03 1.356536e-02 3.807379e-03
152 -7.959584e-04 -1.131031e-03 2.481808e-03
153 3.420640e-03 1.247586e-02 2.032218e-02
154 -1.174000e-04 2.076898e-03 1.985295e-02
155 -2.182108e-03 4.568066e-03 -3.944837e-04
156 1.055519e-02 1.086454e-02 1.603962e-03
157 3.572294e-03 1.322209e-02 1.435813e-03
158 -1.393359e-05 -6.831784e-04 1.393815e-03
159 6.053597e-03 -5.704942e-04 -9.734378e-03
160 -4.427761e-03 6.815713e-03 -4.590936e-03
161 3.829875e-03 6.975518e-04 6.382144e-03
162 9.701293e-03 -6.781889e-03 2.201835e-02
163 -3.208651e-03 1.306583e-02 2.314890e-03
164 -1.339574e-03 -3.085108e-04 -1.021648e-02
165 1.450869e-03 1.352175e-03 -3.740583e-03
166 -3.881046e-03 6.981398e-03 8.921354e-03
167 2.207058e-03 -4.424230e-02 -1.121200e-02
168 -5.896012e-03 -7.008240e-03 1.807487e-02
169 3.460530e-03 8.369446e-03 -1.021733e-03
170 -5.632393e-03 -7.096838e-03 -1.247586e-02
171 -7.701458e-04 -4.854715e-03 -3.867591e-02
172 7.522595e-03 2.874082e-02 4.605545e-03
173 4.628382e-04 2.731715e-03 -2.334488e-03
174 -2.345586e-03 1.350004e-03 1.167228e-03
175 2.877249e-03 -1.226808e-03 -2.347661e-02
176 5.593892e-03 -8.663675e-03 1.152059e-02
177 -3.789373e-04 7.493387e-03 -1.301929e-02
178 4.634128e-03 6.581818e-04 2.517401e-03
179 1.369967e-03 -8.578978e-03 1.832543e-02
180 -3.946257e-03 1.255443e-03 -2.270695e-02
181 -8.067775e-03 1.391416e-02 -3.339683e-03
182 3.381708e-03 -1.079300e-02 1.323649e-02
183 -1.677237e-02 -3.855637e-02 -2.099891e-02
184 6.149478e-03 2.852014e-02 1.386974e-03
185 -2.660509e-03 -8.028358e-03 -4.320513e-03
186 1.153037e-03 5.715445e-03 6.294471e-04
187 -1.411194e-02 -1.661227e-02 -1.647614e-02
188 -1.193187e-03 5.924426e-03 1.221173e-03
189 9.395389e-03 -3.896045e-03 1.249772e-02
190 2.320692e-03 4.209601e-04 -2.901355e-03
191 -1.772611e-02 -9.386373e-03 -1.731881e-02
192 1.953269e-02 1.862055e-02 1.622973e-02
193 -1.574308e-02 2.262391e-03 -2.312203e-02
194 -2.938162e-03 -5.359386e-03 -1.369819e-02
195 -1.313704e-02 -1.024414e-02 -1.693738e-02
196 1.572634e-03 -1.224451e-02 4.563930e-03
197 -1.079096e-02 -1.225403e-02 -9.214487e-03
198 -1.029262e-02 -1.428464e-02 -1.198357e-02
199 1.244440e-02 1.349073e-02 8.775906e-04
200 -7.402883e-02 2.066286e-02 8.232818e-03
201 -3.491689e-02 2.010144e-02 2.572495e-02
202 -8.421988e-03 1.292822e-03 -9.999215e-03
203 2.313186e-03 1.594148e-02 -4.074555e-04
204 -8.819290e-04 2.314423e-03 -8.751503e-02
205 -3.084427e-03 -4.156597e-03 1.163248e-02
206 1.096801e-02 1.489156e-02 1.769773e-02
207 -7.521709e-04 5.357896e-03 -5.704195e-03
208 5.315677e-03 -4.530180e-03 1.588035e-02
209 7.734856e-04 9.741392e-03 1.964216e-02
210 9.933166e-05 1.225066e-02 -5.456467e-04
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212 -4.990977e-03 1.074157e-03 -2.249902e-02
213 4.243672e-03 1.146483e-03 -2.176209e-04
214 3.782313e-03 2.327947e-03 9.954941e-03
215 8.957714e-03 -1.969732e-03 1.617652e-02
216 -7.391902e-04 8.377119e-03 2.103637e-02
217 -8.076593e-03 1.340487e-02 -3.147966e-03
218 5.203787e-03 1.197801e-02 1.489977e-02
219 8.482904e-03 1.135044e-02 3.432409e-02
220 5.232167e-04 -1.502324e-03 -1.605441e-02
221 -1.410064e-02 1.190665e-02 5.062428e-03
222 -2.781431e-03 -9.127450e-03 3.537331e-03
223 -4.545021e-03 1.375891e-02 1.056275e-02
224 1.842907e-03 -7.497839e-05 5.120482e-03
225 7.800433e-03 1.787697e-02 7.827505e-03
226 -2.553417e-03 -9.580465e-03 -2.228477e-03
227 1.426773e-03 1.134238e-02 -5.854920e-03
228 1.114387e-03 -1.910361e-03 1.455404e-02
229 -3.480913e-03 -3.320366e-02 -3.956198e-02
230 6.969018e-03 -4.133499e-03 -3.356368e-04
231 1.144788e-02 1.126738e-02 -3.151513e-02
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241 3.121820e-03 2.291073e-02 1.191432e-02
242 3.698947e-02 2.781898e-02 -4.363115e-03
243 4.392109e-03 -7.404148e-03 8.767570e-03
244 1.867849e-02 1.054540e-02 2.051909e-02
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253 -2.143986e-02 -8.306170e-04 -2.522561e-02
254 -6.776133e-03 1.111034e-02 9.228866e-03
255 2.158730e-02 3.611031e-02 5.601642e-03
256 3.659007e-03 1.729924e-04 -1.096737e-02
257 -1.712826e-02 -2.570337e-02 -1.931886e-02
258 2.700047e-03 7.710551e-03 9.258429e-03
259 -6.325504e-03 -4.515231e-03 -6.048186e-03
260 -7.807681e-03 -2.861320e-02 -2.314506e-02
261 1.674746e-02 -8.249248e-03 1.138249e-02
262 -8.108108e-04 2.658637e-02 -5.579866e-03
263 -3.195501e-02 5.443476e-03 2.646703e-02
264 2.220511e-02 2.306436e-02 4.012193e-02
265 3.393726e-03 5.743229e-03 6.021860e-03
266 3.245644e-03 4.793353e-04 -9.784798e-03
267 -1.748617e-02 -3.640309e-02 -1.013408e-02
268 -1.314127e-02 5.459441e-02 -1.206344e-02
269 2.450316e-02 2.603050e-02 2.604978e-02
270 -1.424134e-02 -1.453846e-02 1.287197e-01
271 1.194412e-02 1.471303e-02 2.168931e-02
272 2.468926e-02 1.461733e-04 -3.670084e-03
273 -9.721716e-03 8.559497e-03 3.247590e-03
274 6.118454e-03 5.438575e-03 2.341348e-02
275 -1.523783e-04 -8.477875e-03 -3.094006e-04
276 -5.916008e-03 6.314204e-03 -1.144634e-02
277 1.768309e-02 1.730944e-02 5.718499e-03
278 -2.561178e-03 2.293221e-02 5.791768e-03
279 1.786364e-03 1.070316e-02 4.817969e-03
280 1.172955e-02 3.836216e-03 1.152057e-02
281 3.647622e-03 6.063487e-03 -1.773221e-02
282 7.210956e-03 5.759524e-03 -5.776257e-03
283 1.020993e-02 -2.757692e-03 1.456075e-02
284 -1.096007e-03 8.637336e-03 1.101782e-02
285 -4.334054e-03 2.575921e-02 -1.046958e-02
286 1.111830e-02 -8.833429e-03 -4.197334e-03
287 -1.228413e-02 -2.558987e-02 1.701634e-02
288 -1.090510e-02 1.272761e-02 -4.503243e-03
289 6.533470e-03 -1.734753e-02 -1.325561e-02
290 -8.959617e-03 5.090465e-03 1.335567e-02
291 3.787521e-03 8.637936e-04 -4.460726e-03
292 -1.007794e-02 -7.001004e-03 -5.749357e-03
293 1.117855e-02 -1.793037e-02 1.166934e-02
294 -1.614312e-02 2.715433e-03 -2.179056e-02
295 1.399524e-02 1.797456e-03 -5.182686e-03
296 -1.876664e-02 -2.092977e-02 -2.446981e-02
297 -6.264392e-03 -1.998018e-02 -1.040694e-02
298 7.835500e-03 1.745478e-02 1.949928e-02
299 -2.357951e-02 -7.474404e-03 -1.064723e-02
300 1.819951e-02 8.675166e-03 5.424219e-03
301 -8.720106e-04 1.678108e-02 -4.065742e-03
302 1.768232e-02 9.515288e-03 8.157830e-03
303 -8.850727e-05 -7.368754e-03 -5.331501e-03
304 1.917101e-02 -1.309076e-02 1.274356e-02
305 1.118141e-02 1.194353e-02 -1.015658e-02
306 -1.033209e-02 -4.794128e-03 -2.784994e-03
307 -2.339056e-02 -2.774512e-02 -9.979342e-03
308 9.328851e-03 5.685592e-03 -1.250969e-02
309 -1.498307e-03 -8.689886e-03 8.464345e-03
310 1.450023e-02 2.481911e-02 9.125256e-03
311 -1.372017e-02 -1.616303e-02 -6.673718e-03
312 -7.886555e-03 -2.498470e-03 -6.949606e-03
313 8.032117e-03 7.235731e-03 4.008031e-03
314 9.834528e-03 1.562458e-02 1.213076e-02
315 1.478741e-04 -1.107276e-02 -7.538142e-03
316 -1.196638e-03 -3.608490e-03 1.670935e-02
317 3.569164e-03 7.419336e-03 4.311577e-03
318 3.244933e-03 3.536056e-03 -3.232800e-03
319 -3.014747e-03 -2.723428e-03 -1.527882e-03
320 -3.502699e-04 -5.182967e-03 5.888040e-03
321 1.154873e-02 3.442471e-03 -5.812727e-03
322 -6.268201e-03 -5.044585e-03 6.329354e-03
323 -1.481449e-02 -1.204915e-02 -2.924702e-02
324 3.346610e-02 2.068877e-02 3.516222e-02
325 -1.135866e-02 -3.988588e-03 4.229578e-03
326 7.057012e-03 1.224503e-02 -5.425064e-03
327 2.878545e-02 7.138144e-03 2.070745e-04
328 -2.987006e-03 5.626302e-03 1.325071e-01
329 8.354802e-03 2.019773e-02 -1.974597e-02
330 1.789343e-02 -1.746071e-02 -2.115170e-02
331 2.585427e-03 -1.397942e-02 -1.428170e-04
332 -1.761736e-02 -2.728700e-02 -1.934944e-02
333 1.421577e-02 2.885738e-02 3.186776e-04
[ reached getOption("max.print") -- omitted 943 rows ]
> fitted(var1)
IBM.Adjusted AAPL.Adjusted AMZN.Adjusted
1 -4.171017e-04 -7.075340e-04 1.520792e-03
2 1.353491e-04 1.395906e-03 8.572183e-04
3 -3.199596e-04 -1.302233e-03 8.862256e-04
4 -2.421962e-04 1.422535e-03 1.555803e-03
5 -3.317306e-04 3.514388e-04 1.615242e-03
6 -6.095468e-05 6.334215e-04 1.122836e-03
7 2.336311e-04 2.557036e-03 1.113074e-03
8 2.761754e-05 6.025479e-04 5.409449e-04
9 4.671142e-04 1.115669e-03 -8.663160e-05
10 -1.631987e-04 5.927771e-05 1.080824e-03
11 -7.410032e-04 -1.244890e-03 1.961538e-03
12 -2.370413e-04 1.623332e-03 1.481600e-03
13 -1.343934e-04 3.413365e-03 2.130539e-03
14 3.360020e-04 1.232221e-03 3.767353e-04
15 5.242406e-05 1.773864e-03 1.518549e-03
16 6.300106e-05 1.874054e-03 1.130399e-03
17 -2.254085e-03 -3.511029e-03 4.824406e-03
18 2.018170e-04 9.801551e-04 8.367601e-04
19 -1.088613e-03 -9.586186e-04 2.363859e-03
20 2.333844e-03 3.967948e-03 -2.208297e-03
21 5.161796e-04 3.201154e-03 8.808590e-04
22 8.289766e-05 1.314179e-03 7.868347e-04
23 2.060365e-04 6.213003e-04 4.046171e-04
24 3.352381e-04 1.668582e-03 1.999321e-05
25 -8.095861e-05 -8.169306e-05 5.756057e-04
26 2.690825e-04 1.644410e-03 5.124237e-04
27 2.251517e-04 2.899055e-04 1.580356e-04
28 6.603542e-04 1.377184e-03 -4.134108e-05
29 -1.793146e-04 3.081328e-04 8.760345e-04
30 -4.300909e-05 -4.794827e-05 7.435781e-04
31 1.738084e-04 1.341274e-03 7.923941e-04
32 -5.395698e-05 4.622677e-04 1.187313e-03
33 -4.200561e-04 -5.370002e-04 1.427840e-03
34 -2.007298e-04 9.358972e-04 1.564904e-03
35 -2.794712e-04 3.148004e-04 1.239706e-03
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37 -3.294871e-04 -1.564561e-04 1.362447e-03
38 3.332664e-04 1.204284e-03 1.974174e-04
39 -2.683153e-04 4.772680e-04 1.388713e-03
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46 2.108880e-04 1.165167e-03 5.649114e-04
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48 -4.661364e-04 9.758005e-04 2.073360e-03
49 -5.190631e-04 6.477591e-04 2.050746e-03
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51 -8.327577e-05 5.225207e-04 8.845512e-04
52 1.186637e-04 1.854625e-03 1.147815e-03
53 1.776593e-04 -4.386207e-04 2.485980e-04
54 4.885164e-04 2.128097e-03 4.378381e-04
55 7.191848e-04 1.317705e-03 -3.553539e-04
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63 2.439932e-04 1.294073e-03 8.074328e-04
64 2.787491e-04 1.208989e-03 8.041286e-04
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66 -7.472551e-04 4.291848e-04 2.220448e-03
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93 4.757466e-05 9.972551e-04 7.294362e-04
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102 -6.458749e-05 3.947604e-04 9.949109e-04
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104 2.436032e-04 2.035388e-03 7.634389e-04
105 1.664556e-04 1.250723e-03 6.540427e-04
106 -1.065647e-03 -9.817898e-04 2.222503e-03
107 -5.241767e-04 -3.886820e-05 1.671598e-03
108 3.551843e-04 1.714759e-03 4.076038e-04
109 -3.680924e-04 1.355213e-03 1.771739e-03
110 -4.391295e-04 1.074152e-03 1.952113e-03
111 1.060776e-04 9.746720e-04 1.096491e-03
112 -2.838192e-04 -3.759107e-04 1.225084e-03
113 1.124521e-05 1.182246e-03 9.373602e-04
114 1.607987e-06 8.328650e-04 9.984050e-04
115 -5.705144e-04 -4.113413e-04 1.559146e-03
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120 -2.945267e-04 5.639937e-04 1.414653e-03
121 1.208055e-04 1.273224e-03 8.302765e-04
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153 -1.700864e-04 6.704342e-04 1.239967e-03
154 -2.551407e-04 5.933868e-04 1.164041e-03
155 -4.826678e-04 3.429097e-04 1.654198e-03
156 -4.371565e-05 1.107015e-03 1.089988e-03
157 1.700210e-04 4.990999e-04 3.561597e-04
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163 -6.332581e-04 -8.501353e-04 1.626681e-03
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176 3.836329e-04 1.058323e-03 3.570774e-04
177 -4.504301e-04 -3.800013e-04 1.481139e-03
178 2.812940e-04 1.407040e-03 5.642653e-04
179 -8.064289e-05 3.913253e-04 9.340824e-04
180 -6.519695e-04 -2.654587e-04 1.907788e-03
181 3.218268e-04 1.599277e-03 6.550506e-04
182 2.128726e-04 2.084065e-03 8.162257e-04
183 -5.362927e-04 -3.222824e-04 1.679395e-03
184 -6.098016e-04 4.819611e-04 2.581156e-03
185 4.482398e-04 1.655604e-03 1.067864e-05
186 -1.515103e-04 6.573091e-04 1.295227e-03
187 9.187715e-08 9.063960e-04 9.108583e-04
188 -1.966589e-04 1.309017e-03 1.766902e-03
189 -2.312182e-05 1.089447e-03 1.009421e-03
190 -3.615887e-04 -4.209601e-04 1.226849e-03
191 -4.593782e-05 6.146850e-04 9.850150e-04
192 -6.915843e-05 1.926355e-03 1.654695e-03
193 9.527454e-05 -8.230592e-05 1.454272e-04
194 3.061121e-04 2.484526e-03 9.978478e-04
195 9.045037e-05 1.068846e-03 9.458317e-04
196 -4.805055e-05 1.567675e-03 1.487185e-03
197 -4.252181e-04 -7.502100e-05 1.595784e-03
198 -2.718564e-04 1.075001e-03 1.767116e-03
199 -2.304769e-04 1.050840e-03 1.694645e-03
200 2.374200e-04 5.100718e-04 1.954548e-04
201 -4.128255e-04 6.701164e-03 3.623605e-03
202 -4.391389e-04 3.769180e-03 2.486889e-03
203 9.432746e-05 1.766478e-03 1.078196e-03
204 2.653299e-04 1.399142e-03 4.281978e-04
205 1.787820e-03 3.110576e-03 -1.546250e-03
206 -3.369873e-04 4.969011e-04 1.498138e-03
207 -1.039049e-04 2.474442e-04 7.186798e-04
208 1.142506e-04 1.170841e-03 8.095076e-04
209 -4.693424e-04 -2.522346e-04 1.498961e-03
210 -3.427056e-04 6.292132e-04 1.396493e-03
211 1.439362e-04 1.341493e-03 7.065038e-04
212 -1.250142e-04 1.316990e-03 1.508113e-03
213 3.500567e-04 1.709428e-03 6.223212e-04
214 -1.144299e-05 5.196832e-04 8.413749e-04
215 -2.343562e-04 3.173196e-04 1.180146e-03
216 -4.235054e-04 -4.147403e-04 1.326579e-03
217 -4.101903e-04 6.258206e-04 1.544168e-03
218 1.547979e-04 2.035635e-03 9.288433e-04
219 -1.020433e-04 6.320612e-04 8.805283e-04
220 -5.232167e-04 -1.631924e-04 1.396783e-03
221 1.758249e-04 9.935047e-04 7.402521e-04
222 -6.406670e-05 2.174890e-03 1.405396e-03
223 -3.607536e-04 4.419146e-04 1.612476e-03
224 -1.011776e-04 1.449772e-03 1.182586e-03
225 -1.860604e-04 4.985749e-04 1.180920e-03
226 1.452058e-04 8.600881e-04 4.392294e-04
227 -2.527953e-04 4.921519e-04 1.457724e-03
228 2.430838e-04 1.321868e-03 5.308446e-04
229 -4.114490e-04 2.092258e-04 1.521725e-03
230 1.833488e-06 3.024099e-04 1.286099e-03
231 -1.391998e-04 9.771492e-06 9.905323e-04
232 8.539741e-04 1.238495e-03 -6.277931e-04
233 -2.227687e-04 6.880340e-04 1.399759e-03
234 6.629131e-05 1.173929e-03 1.051308e-03
235 -2.203307e-04 6.697771e-04 1.681333e-03
236 -1.307018e-04 5.008310e-04 8.665979e-04
237 -1.519180e-04 1.371111e-03 1.760649e-03
238 -2.317903e-04 1.968612e-04 1.219334e-03
239 -7.139073e-04 2.383000e-03 3.152411e-03
240 -4.040041e-04 1.183136e-03 2.075435e-03
241 3.063385e-04 1.701974e-03 9.491324e-04
242 1.583304e-04 1.364327e-03 5.080154e-04
243 8.580543e-04 -3.488308e-04 -1.505576e-03
244 -3.628757e-04 -2.212214e-04 1.380124e-03
245 -2.030682e-04 -6.070887e-04 6.605421e-04
246 -1.123119e-04 2.095076e-04 1.011061e-03
247 1.193453e-05 9.249864e-04 1.066263e-03
248 -1.306423e-04 8.564266e-04 9.639019e-04
249 -3.950896e-04 1.230112e-03 1.875760e-03
250 -2.488025e-04 4.437126e-04 1.486800e-03
251 -4.672651e-04 -4.124043e-04 1.678484e-03
252 -8.791893e-05 -3.165709e-04 8.608374e-04
253 -3.617627e-04 9.246977e-04 2.127597e-03
254 2.192694e-04 2.814575e-03 1.315113e-03
255 -8.546858e-05 1.592252e-03 1.211027e-03
256 6.870734e-04 8.987739e-04 -8.508399e-04
257 2.052688e-04 7.540719e-04 5.536826e-04
258 -3.378249e-04 1.128946e-03 2.103925e-03
259 -1.363015e-04 6.974744e-04 1.048257e-03
260 -1.183801e-04 1.097643e-03 1.359435e-03
261 -2.573733e-04 4.489608e-04 1.738845e-03
262 -3.993577e-04 -1.155274e-03 1.098532e-03
263 5.003394e-04 2.161911e-03 1.584747e-04
264 -7.392630e-04 2.618508e-03 2.908581e-03
265 -3.095610e-04 -5.964699e-04 6.265498e-04
266 -1.069500e-04 5.823903e-04 1.007277e-03
267 1.324503e-04 7.620269e-04 6.922246e-04
268 -7.506500e-04 3.983470e-04 2.761970e-03
269 1.098537e-03 4.628067e-03 -4.835909e-04
270 1.861919e-04 -2.037517e-04 -2.245327e-04
271 -3.176993e-03 -2.244215e-03 5.961975e-03
272 -3.531446e-04 2.241794e-05 1.142644e-03
273 1.474226e-04 -9.193541e-04 4.779109e-05
274 -8.431353e-05 1.673767e-03 1.336008e-03
275 -4.216296e-04 2.136309e-05 1.351902e-03
276 -2.923393e-04 3.063081e-04 1.457532e-03
277 1.977069e-04 1.719892e-03 8.445507e-04
278 2.883060e-04 2.360284e-04 -7.085808e-05
279 2.341146e-04 1.869714e-03 5.787497e-04
280 6.050244e-05 1.054641e-03 7.588307e-04
281 -1.623783e-04 -1.791871e-04 8.287776e-04
282 4.014784e-04 1.178815e-03 2.741120e-04
283 2.170272e-04 6.577960e-04 4.055824e-04
284 -3.696275e-04 -4.961979e-04 1.202733e-03
285 -1.976971e-04 9.090478e-04 1.252468e-03
286 5.983226e-04 2.573343e-03 1.115036e-04
287 -4.671664e-05 -3.160423e-04 7.337422e-04
288 -1.082214e-03 -1.508781e-04 3.023032e-03
289 9.600147e-05 2.205369e-03 1.124146e-03
290 -9.720306e-05 -1.982435e-04 1.008261e-03
291 -3.661896e-04 1.225570e-03 1.734358e-03
292 2.930283e-05 6.419343e-04 8.232162e-04
293 -1.987041e-04 1.220961e-03 1.594075e-03
294 -6.241604e-04 -1.213673e-03 1.631552e-03
295 2.251563e-04 2.458911e-03 1.149205e-03
296 1.832744e-04 2.695162e-05 2.730647e-04
297 -1.559844e-04 1.580382e-03 1.872851e-03
298 -3.381586e-04 4.629862e-04 1.754254e-03
299 -1.199297e-04 5.399310e-04 8.192611e-04
300 -2.132582e-04 2.268827e-03 2.022804e-03
301 1.078599e-04 -1.926321e-04 2.282205e-04
302 3.122627e-04 1.678056e-03 4.626875e-04
303 8.850727e-05 -2.102021e-04 2.537886e-04
304 -1.427884e-04 4.623351e-04 1.224451e-03
305 -4.947025e-04 -1.592166e-03 1.186230e-03
306 3.816557e-04 6.980865e-04 6.211736e-05
307 -1.982532e-04 1.270828e-03 1.577158e-03
308 -6.356546e-04 1.260702e-03 2.730563e-03
309 3.145762e-04 6.894537e-04 2.359361e-04
310 -4.473251e-04 1.802368e-04 1.691458e-03
311 2.905054e-04 6.920847e-04 4.285459e-06
312 -3.719410e-04 1.050840e-03 1.992443e-03
313 -8.535998e-05 1.339152e-03 1.352152e-03
314 2.634478e-05 4.440332e-04 6.548735e-04
315 3.736595e-05 4.948925e-04 5.383000e-04
316 -1.617346e-04 3.493078e-04 1.263389e-03
317 -5.462815e-04 1.950324e-04 1.808161e-03
318 -4.671102e-05 7.217128e-04 9.095758e-04
319 6.286427e-05 7.545262e-04 7.696985e-04
320 -1.424694e-04 8.377597e-04 1.278395e-03
321 -3.364435e-04 3.507284e-04 1.493024e-03
322 1.567577e-04 2.214285e-04 4.023948e-04
323 -3.802558e-04 7.306057e-04 1.724245e-03
324 1.323985e-04 1.899867e-03 1.309105e-03
325 -1.419152e-04 -1.433288e-03 4.865187e-05
326 -3.826901e-04 1.138884e-03 1.891026e-03
327 2.986419e-04 9.924667e-04 2.802413e-04
328 2.815401e-04 -9.332724e-04 -3.291587e-04
329 -2.774900e-03 -2.169623e-03 4.943613e-03
330 6.184317e-04 1.579598e-03 -1.656633e-04
331 1.706586e-04 -8.356960e-04 2.825594e-04
332 -3.759816e-04 -2.178142e-04 1.514286e-03
333 -4.169010e-04 1.054338e-03 2.262265e-03
[ reached getOption("max.print") -- omitted 943 rows ]
> Phi(var1)
, , 1
[,1] [,2] [,3]
[1,] 1 0 0
[2,] 0 1 0
[3,] 0 0 1
, , 2
[,1] [,2] [,3]
[1,] 0.007695475 0.02014116 -0.02082584
[2,] -0.069877923 0.04937593 -0.02496766
[3,] -0.040505537 -0.03430796 0.02936567
, , 3
[,1] [,2] [,3]
[1,] -0.0005046403 0.001863977 -0.0012747070
[2,] -0.0029767028 0.001887149 -0.0005107267
[3,] 0.0008961877 -0.003517292 0.0025624937
, , 4
[,1] [,2] [,3]
[1,] -8.250156e-05 1.256041e-04 -7.346219e-05
[2,] -1.340900e-04 5.074749e-05 -1.231854e-07
[3,] 1.488825e-04 -2.435332e-04 1.444040e-04
, , 5
[,1] [,2] [,3]
[1,] -6.436219e-06 7.060481e-06 -3.575143e-06
[2,] -4.573025e-06 -1.907969e-07 1.521873e-06
[3,] 1.231416e-05 -1.398022e-05 7.220372e-06
, , 6
[,1] [,2] [,3]
[1,] -3.980885e-07 3.416408e-07 -1.472305e-07
[2,] -8.350339e-08 -1.537392e-07 1.446917e-07
[3,] 7.792071e-07 -6.899813e-07 3.046318e-07
, , 7
[,1] [,2] [,3]
[1,] -2.097298e-08 1.390204e-08 -4.562963e-09
[2,] 4.239562e-09 -1.423695e-08 9.826502e-09
[3,] 4.187155e-08 -2.882562e-08 9.945287e-09
, , 8
[,1] [,2] [,3]
[1,] -9.480176e-10 4.205521e-10 -4.431597e-11
[2,] 6.294459e-10 -9.547000e-10 5.557325e-10
[3,] 1.933657e-09 -9.211528e-10 1.397480e-10
, , 9
[,1] [,2] [,3]
[1,] -3.488771e-11 3.191364e-12 7.941696e-12
[2,] 4.904609e-11 -5.352748e-11 2.704734e-11
[3,] 7.358809e-11 -1.133114e-11 -1.316722e-11
, , 10
[,1] [,2] [,3]
[1,] -8.131661e-13 -8.175659e-13 8.800982e-13
[2,] 3.022255e-12 -2.583063e-12 1.109293e-12
[3,] 1.891437e-12 1.374404e-12 -1.636286e-12
, , 11
[,1] [,2] [,3]
[1,] 1.522325e-14 -8.694056e-14 6.319224e-14
[2,] 1.588242e-13 -1.047270e-13 3.412714e-14
[3,] -1.520636e-14 1.620959e-13 -1.217570e-13
> var.pred <- predict(var1, n.ahead=10, ci=0.95)
> var.irf <- irf(var1)
> plot(var.irf)
Hit <Return> to see next plot:
Hit <Return> to see next plot:
> amat <- diag(3)
> amat[2, 1] <- NA
> amat[2, 3] <- NA
> amat[3, 1] <- NA
> svar1 <- SVAR(var1, estmethod='direct', Amat = amat)
> irf.svar1 <- irf(svar1)
> plot(irf.svar1)
Hit <Return> to see next plot:
Hit <Return> to see next plot:
>
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