Solution of 3.5

solution_35.r

#  3.5
setwd("D:/")
a = read.table("m-intc7308.txt", head = T)
# 调整成时间序列数据
ts1 = ts(data = a[[2]], start = 1973, frequency = 12)
lts1 = log(1 + ts1)
# 转化成对数收益率
acf(lts1)
# 观察 ARIMA 模型的阶数 (定阶)
pacf(lts1)
# acf 定 MA(q) 的阶数, pacf 定 AR(p) 的阶数
# 检验是否存在条件异方差
plot(lts1^2)
# 检验是否存在条件异方差
Box.test(lts1^2)
myspec = ugarchspec(variance.model=list(garchOrder = c(1,1)), 
    mean.model=list(armaOrder = c(0,0)))
# 建立 GARCH 模型
myfit = ugarchfit(myspec, lts1)
myfit
# 向前 5 步预测
fc = ugarchforecast(myfit, lts1, n.ahead = 5)
fc
# Now try a very very very long long long long long long long long long long long long long long long long long long long long long long line.