How to analyse time series data NIFTY50

 How to analyze data( NIFTY50)

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getSymbols("^NSEI", from="2004-01-01", to=Sys.Date())
chartSeries(Cl(NSEI))
> ret <- dailyReturn(Cl(NSEI), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
  missing values removed from data
> par(mfrow=c(2,2))
> acf(ret, main="Return ACF");
> pacf(ret, main="Return PACF");
> acf(ret^2, main="Squared return ACF");
> pacf(ret^2, main="Squared return PACF")
> par(mfrow=c(1,1))
> m=mean(ret);s=sd(ret);
> par(mfrow=c(1,2))
> hist(ret, nclass=40, freq=FALSE, main='Return histogram');curve(dnorm(x,
+          mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), main='Return empirical distribution');curve(dnorm(x,
+         mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> par(mfrow=c(1,1))
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> kurtosis(ret)
[1] 12.6355
attr(,"method")
[1] "excess"
> plot(density(ret), main='Return EDF - upper tail', xlim = c(0.1, 0.2),
+      ylim=c(0,2));
> curve(dnorm(x, mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), xlim=c(-5*s,5*s),log='y', main='Density on log-scale')
Warning message:
In xy.coords(x, y, xlabel, ylabel, log) :
  75 y values <= 0 omitted from logarithmic plot
> curve(dnorm(x, mean=m,sd=s), from=-5*s, to=5*s, log="y", add=TRUE,
+       col="red")
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> qqnorm(ret);qqline(ret);

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  8. Thank you, Manibhushan, for this comprehensive guide on time series analysis for NIFTY50! Your step-by-step approach and practical use of R code, especially with functions like acf and pacf for autocorrelation, really demystify the process. The inclusion of density plots and the histogram provides a thorough understanding of the data's distribution and volatility patterns, which is incredibly helpful for both beginners and experienced analysts. Your detailed explanation of each visualization, from ACF plots to the empirical distribution function, makes this a highly informative resource. Looking forward to more insightful posts like this!
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