Harga saham dan white noise

Seperti yang Anda pelajari dalam video, white noise adalah istilah untuk data yang sepenuhnya acak. Anda dapat melakukan uji Ljung-Box menggunakan fungsi di bawah ini untuk mengonfirmasi keacakan suatu deret; nilai p yang lebih besar dari 0,05 menunjukkan bahwa data tidak berbeda secara signifikan dari white noise.

> Box.test(pigs, lag = 24, fitdf = 0, type = "Ljung")

Terdapat hasil yang terkenal dalam ilmu ekonomi yang disebut "Efficient Market Hypothesis" yang menyatakan bahwa harga aset mencerminkan seluruh informasi yang tersedia. Konsekuensinya, perubahan harian pada harga saham seharusnya berperilaku seperti white noise (mengabaikan dividen, suku bunga, dan biaya transaksi). Implikasinya bagi peramal adalah bahwa prakiraan terbaik untuk harga di masa depan adalah harga saat ini.

Anda dapat menguji hipotesis ini dengan melihat deret goog, yang berisi harga penutupan saham Google selama 1000 hari perdagangan hingga 13 Februari 2017. Data ini telah dimuat ke dalam ruang kerja Anda.

Latihan ini adalah bagian dari kursus

Peramalan di R

Petunjuk latihan

Pertama, plot deret goog menggunakan autoplot().
Dengan fungsi diff() bersama autoplot(), plot perubahan harian harga saham Google.
Gunakan fungsi ggAcf() untuk memeriksa apakah perubahan harian ini terlihat seperti white noise.
Lengkapi kode yang sudah disiapkan untuk melakukan uji Ljung-Box pada perubahan harian dengan 10 lag.

Latihan interaktif praktis

Cobalah latihan ini dengan menyelesaikan kode contoh berikut.

# Plot the original series
___

# Plot the differenced series
___

# ACF of the differenced series
___

# Ljung-Box test of the differenced series
___(___, lag = ___, type = "Ljung")

Edit dan Jalankan Kode

Latihan ini adalah bagian dari kursus

Peramalan di R

SkillTag.level.beginnerSkillTag.label

4.9+

Mulai Kursus Gratis

The first thing to do in any data analysis task is to plot the data. Graphs enable many features of the data to be visualized, including patterns, unusual observations, and changes over time. The features that are seen in plots of the data must then be incorporated, as far as possible, into the forecasting methods to be used.

Exercise 1: Selamat Datang di Peramalan Menggunakan R Exercise 2: Membuat objek deret waktu di R Exercise 3: Plot deret waktu Exercise 4: Plot musiman Exercise 5: Tren, musiman, dan siklus Exercise 6: Autokorelasi deret waktu non-musiman Exercise 7: Autokorelasi deret waktu musiman dan siklik Exercise 8: Cocokkan ACF dengan deret waktunya Exercise 9: White noise Exercise 10: Harga saham dan white noise

Latihan Saat Ini

In this chapter, you will learn general tools that are useful for many different forecasting situations. It will describe some methods for benchmark forecasting, methods for checking whether a forecasting method has adequately utilized the available information, and methods for measuring forecast accuracy. Each of the tools discussed in this chapter will be used repeatedly in subsequent chapters as you develop and explore a range of forecasting methods.

Exercise 1: Forecasts and potential futures Exercise 2: Naive forecasting methods Exercise 3: Fitted values and residuals Exercise 4: Checking time series residuals Exercise 5: Training and test sets Exercise 6: Evaluating forecast accuracy of non-seasonal methods Exercise 7: Evaluating forecast accuracy of seasonal methods Exercise 8: Do I have a good forecasting model?Exercise 9: Time series cross-validation Exercise 10: Using tsCV() for time series cross-validation

Forecasts produced using exponential smoothing methods are weighted averages of past observations, with the weights decaying exponentially as the observations get older. In other words, the more recent the observation, the higher the associated weight. This framework generates reliable forecasts quickly and for a wide range of time series, which is a great advantage and of major importance to applications in business.

Exercise 1: Exponentially weighted forecasts Exercise 2: Simple exponential smoothing Exercise 3: SES vs naive Exercise 4: Exponential smoothing methods with trend Exercise 5: Holt's trend methods Exercise 6: Exponential smoothing methods with trend and seasonality Exercise 7: Holt-Winters with monthly data Exercise 8: Holt-Winters method with daily data Exercise 9: State space models for exponential smoothing Exercise 10: Automatic forecasting with exponential smoothing Exercise 11: ETS vs seasonal naive Exercise 12: Match the models to the time series Exercise 13: When does ETS fail?

ARIMA models provide another approach to time series forecasting. Exponential smoothing and ARIMA models are the two most widely-used approaches to time series forecasting, and provide complementary approaches to the problem. While exponential smoothing models are based on a description of the trend and seasonality in the data, ARIMA models aim to describe the autocorrelations in the data.

Exercise 1: Transformations for variance stabilization Exercise 2: Box-Cox transformations for time series Exercise 3: Non-seasonal differencing for stationarity Exercise 4: Seasonal differencing for stationarity Exercise 5: ARIMA models Exercise 6: Automatic ARIMA models for non-seasonal time series Exercise 7: Forecasting with ARIMA models Exercise 8: Comparing auto.arima() and ets() on non-seasonal data Exercise 9: Seasonal ARIMA models Exercise 10: Automatic ARIMA models for seasonal time series Exercise 11: Exploring auto.arima() options Exercise 12: Comparing auto.arima() and ets() on seasonal data

The time series models in the previous chapters work well for many time series, but they are often not good for weekly or hourly data, and they do not allow for the inclusion of other information such as the effects of holidays, competitor activity, changes in the law, etc. In this chapter, you will look at some methods that handle more complicated seasonality, and you consider how to extend ARIMA models in order to allow other information to be included in the them.

Exercise 1: Dynamic regression Exercise 2: Forecasting sales allowing for advertising expenditure Exercise 3: Forecasting electricity demand Exercise 4: Dynamic harmonic regression Exercise 5: Forecasting weekly data Exercise 6: Harmonic regression for multiple seasonality Exercise 7: Forecasting call bookings Exercise 8: TBATS models Exercise 9: TBATS models for electricity demand Exercise 10: Your future in forecasting!