Forecasting Time Series

NASDAQ Analysis

Preamble

library("forecast")
library("e1071")                                                  # kurtosis
source("http://ptrckprry.com/course/forecasting/code/ad.test.R")  # ad.test

NADAQ Series

Daily Adjusted Close

data <- read.csv("http://ptrckprry.com/course/forecasting/data/nasdaq.csv")
date <- as.Date(data$date)
time <- seq_along(date)
NASDAQ <- data$nasdaq

Adjusted Close

plot(date, NASDAQ, type="l", col=2)

Differences

diff.NASDAQ <- c(NA, diff(NASDAQ))
plot(date, diff.NASDAQ, type="l", col=2)

Log (Adj. Close)

log.NASDAQ <- log(NASDAQ)
plot(date, log.NASDAQ, type="l", col=2)