Copyright 2016 Jon Danielsson. Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at. http://www.apache.org/licenses/LICENSE-2.0. Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

The original 2011 R code will not fully work on a recent R because there have been some changes to libraries. The latest version of the Matlab code only uses functions from Matlab toolboxes.

Last edited: August 2016

```
library(tseries)
library(zoo)
price = get.hist.quote(instrument = "^gspc", start = "2000-01-01", quote="AdjClose")
y=diff(log(price))
plot(y)
y=coredata(y)
```

Last edited: August 2016

```
price = hist_stock_data('01012000','30082016','^gspc');
y=diff(log(price.Close(end:-1:1)))
plot(y)
```

Last edited: August 2016

```
library(moments)
mean(y)
sd(y)
min(y)
max(y)
skewness(y)
kurtosis(y)
acf(y,1)
acf(y^2,1)
jarque.bera.test(y)
Box.test(y, lag = 20, type = c("Ljung-Box"))
Box.test(y^2, lag = 20, type = c("Ljung-Box"))
```

Last edited: August 2016

```
mean(y)
std(y)
min(y)
max(y)
skewness(y)
kurtosis(y)
[h,pValue,stat]=lbqtest(y,20)
[h,pValue,stat]=lbqtest(y.^2,20)
[h,pValue,stat]=lbqtest(y,'lags',20)
[h,pValue,stat]=lbqtest(y.^2,'lags',20)
```

Last edited: August 2016

```
library(MASS)
library(stats)
q = acf(y,20)
q1 = acf(y^2,20)
plot(q,main="ACF of daily returns")
plot(q1,main="ACF of squared daily returns")
```

Last edited: August 2016

```
autocorr(y,'numLags',20)
autocorr(y.^2,'numLags',20)
```

Last edited: August 2016

```
library(car)
qqPlot(y)
qqPlot(y,distribution="t",df=5)
```

Last edited: 2011

```
qqplot(y)
```

Last edited: 2011

```
price1 = get.hist.quote(instrument = c("msft"),start = "2007-06-01",end = "2009-12-31",quote="AdjClose")
price2 = get.hist.quote(instrument = c("ms"), start = "2007-06-01",end = "2009-12-31",quote="AdjClose")
price3 = get.hist.quote(instrument = c("GS"), start = "2007-06-01",end = "2009-12-31",quote="AdjClose")
p=cbind(price1,price2,price3)
y=diff(log(p))
print(cor(y))
```

Last edited: 2011

```
price = hist_stock_data('01062007','31122009','msft','ms','gs');
price=[price(1).AdjClose(end:-1:1),price(2).AdjClose(end:-1:1),price(3).AdjClose(end:-1:1)]
y=diff(log(price))
corr(y)
```

All rights reserved, Jon Danielsson, 2011-2018.