Assignment 1
Read data for NIFTY index from 1st Jan 2012 to 31st Jan 2013.. Calculate the log of returns data and find out the historical volatility.
Assignment 2
Create an ACF plot for the log returns data. Also perform an ADF test and interpret the findings.
> To create an ACF plot, the command takes the form acf(logReturns).
Interpretation : The blue dotted lines represent confidence interval for the hypothesis (95% in default case). As all the vertical lines lie inside those two dotted lines, we can safely suggest that the returns data is "Stationary" in nature.
> For ADF test, the command is as shown below:
Interpretation :
Null Hypothesis -: The returns data is not Stationary.
Alternative Hypothesis -: Returns Data is stationary.
As per the test results p-value = 0.01 which is less than 0.05, as stated for 95% confidence interval.
Hence Null Hypothesis is rejected. Thus, given data is stationary in nature.
Alternative Hypothesis -: Returns Data is stationary.
As per the test results p-value = 0.01 which is less than 0.05, as stated for 95% confidence interval.
Hence Null Hypothesis is rejected. Thus, given data is stationary in nature.
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