Analysis of stock prices as a function of the risk free rate and market risk.

stock_prices.R

library(tidyverse)
library(gamlss); select <- dplyr::select
library(fmpapi)
library(Quandl)

fmp_daily_prices("ASAN") -> d
fmp_daily_prices("TEAM") -> team
Quandl("USTREASURY/YIELD") -> yc

yc %>%
  as_tibble() %>%
  janitor::clean_names() %>%
  select(date, one_yr_treasury_rate = x1_yr) %>%
  right_join(d %>% select(date, asan = close)) %>%
  right_join(team %>% select(date, team = close)) %>%
  arrange(date) %>%
  mutate(log_asan = log(asan),
         lag_log_asan = lag(log_asan),
         log_team = log(team)) %>%
  filter_all(Negate(is.na)) %>%
  ungroup() -> d2

gamlss(log_asan ~ one_yr_treasury_rate +
         log_team +
         lag_log_asan,
       sigma.formula = ~ one_yr_treasury_rate,
       data = d2,
       family = "SST") -> fit
summary(fit)