Preamble

This lecture is based on Cowpertwait & Metcalfe, Introductory Time Series with R, Chapter 11.

library("forecast")
library("tseries")

Exchange Rate Data

# Daily exchange rates for UK pounds and the Euro, 
# from January 2004 to December 2007, per US dollar.
#
xrates <- read.table("http://www.maths.adelaide.edu.au/andrew.metcalfe/Data/us_rates.dat",
                     header=TRUE)
n <- nrow(xrates)
time <- 1:n

euro <- xrates$EU
gbp <- xrates$UK

Time Series Plots

ylim <- range(euro, gbp)
plot(time, euro, ylim=ylim, type="l", col=2, ylab="Exchange Rate", xlab="Time")
lines(time, gbp, col=3)
legend("topright", inset=0.025, legend=c("euro", "gbp"), col=c(2, 3), lty=2)

ACFs, PACFs for Euro

Euro

par(mfrow=c(1,2))
Acf(euro)
Pacf(euro)

Diff. Euro

par(mfrow=c(1,2))
Acf(diff(euro))
Pacf(diff(euro))