Modérateur : Groupe des modérateurs
Code : Tout sélectionner
#GARCH
garch11.spec = ugarchspec(variance.model=list(model="sGARCH", garchOrder=c(1,1)),
mean.model=list(armaOrder=c(0,0), include.mean=TRUE),
distribution.model="norm")
dcc.garch11.spec = dccspec(uspec= multispec( replicate(2, garch11.spec)),
dccOrder= c(1,1),
distribution = "mvnorm")
#1. BTC_CAC40
dcc.fit = dccfit(dcc.garch11.spec, data = BTC_CAC40)
rcorr = rcor(dcc.fit)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_CAC40)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_CAC = zoo(rho.est, order.by=index(BTC_CAC40[,1]))
#2.BTC_FTSE
dcc.fit_FTSE = dccfit(dcc.garch11.spec, data = BTC_FTSE)
rcorr1=rcor(dcc.fit_FTSE)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_FTSE, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_FTSE)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_FTSE = zoo(rho.est, order.by=index(BTC_FTSE[,1]))
#3. BTC_DAX
dcc.fit_DAX = dccfit(dcc.garch11.spec, data = BTC_DAX )
rcorr = rcor(dcc.fit_DAX)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_DAX, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_DAX)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_DAX = zoo(rho.est, order.by=index(BTC_DAX[,1]))
#4. BTC_IBEX
dcc.fit_IBEX = dccfit(dcc.garch11.spec, data = BTC_IBEX)
dcc.fit_IBEX
rcorr = rcor(dcc.fit_IBEX)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_IBEX, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_IBEX)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_IBEX = zoo(rho.est, order.by=index(BTC_IBEX[,1]))
Code : Tout sélectionner
#5. BTC_BEL20
dcc.fit_BEL20 = dccfit(dcc.garch11.spec, data = BTC_BEL20)
rcorr = rcor(dcc.fit_BEL20)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_BEL20, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_BEL20)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_BEL20 = zoo(rho.est, order.by=index(BTC_BEL20[,1]))
matplot(Period, cbind(Corr_BTC_BEL20,Corr_BTC_DAX, Corr_BTC_DAX, Corr_BTC_IBEX, Corr_BTC_FTSE, Corr_BTC_CAC),type="l",
lty=c(1,1), main= "BTC correlations")
Code : Tout sélectionner
data <- read.csv("All_data_crypto_euro.csv",
header = TRUE,
row.names = 1,
sep = ";",
dec = ".",
na.strings = "")
library(corrplot)
library(dplyr)
library(psych)
library(lattice)
library(plotly)
library(rgl)
library(scatterplot3d)
library(rmgarch)
library(rugarch)
library(tseries)
library(zoo)
library(FinTS)
library(ggplot2)
Period<-seq(as.Date("2020/3/11"), by="days", length.out = 365 )
BTC_CAC40= data.frame(data$BTC, data$CAC40)
BTC_DAX= data.frame(data$BTC, data$DAX)
BTC_FTSE= data.frame(data$BTC, data$FTSE)
BTC_IBEX= data.frame(data$BTC, data$IBEX)
BTC_BEL20= data.frame(data$BTC, data$BEL20)
Mickael Canouil a écrit :Bonjour,
matplot dispose des arguments xlim/ylim.
Si vous voulez une réponse plus détaillée :
Alhonita Yatié a écrit :Bonjour,
Le problème est que je ne sais pas comment ajouter dans les codes une base de données de minimum 100 données pour 5 variables.
J'ai testé la fonction "dput", mais j'avoue ne pas complètement la comprendre. Je n'arrive donc pas à organiser les données pour les partager sur le forum.
Code : Tout sélectionner
data.frame(A=rnorm(100), B=rnorm(100), C=rnorm(100), D=rnorm(100), E=rnorm(100))
Code : Tout sélectionner
structure(list(BTC = c(0, -44.86993926, 10.88277915, -6.935222393,
3.402914147, -7.436806103, 5.719725952, 0.849832538, 19.34905098,
-0.723263127, -0.347602366, -5.245008509, 9.217751099, 4.264634695,
-1.772992076, -0.788549046, -4.902155125, -3.50099839, -5.018896904,
9.198316307, 0.12385161, 3.270256891, 3.837112467, -0.501665602,
1.81957533, -1.104335614, 6.958424524, -2.176019975, 2.501572385,
-1.056355934, -6.261650558, -0.127381243, 1.596272872, -1.685336089,
-0.54249978, -2.310477319, 8.397227958, -1.528358966, 2.336034924,
-0.938867291, -4.358529822, 0.07070082, 3.912375701, 4.596270579,
1.116585786, 0.259984977, 1.446663783, 1.484835439, 0.047439447,
11.54618581, -2.046921418, 0.880210575, 1.274388463, 0.250466991,
0.689491752, 1.668575105, 3.138767794, 6.686354058, -2.17693067,
-2.588703587, -7.909850339, -1.387255991, 1.887906415, 5.386722732,
5.004851503, -4.341897651, 0.445695052, 3.182677909, -0.34708704,
-0.130862461, -2.591210337, -4.480516755, 1.594447415, 0.295916623,
-4.805397306, 1.459828284, -1.526672488, 3.518786014, 3.116203081,
-1.191117126, 2.729577548, -2.579891076, 7.057809686, -6.932119008,
0.83633725, 0.546126344, -0.952393613, -0.128075249, 0.855279502,
0.281212724, -0.054079698, 0.483148681, -5.042942853, 1.981293572,
-0.018032513, -0.932623727, -0.039738674, 1.46953922, -0.344148782,
-0.441351593, -1.023478998, 0.448467125, -0.314435034, 2.714586447,
-0.421830588, -2.809592214, -0.297044161, -1.000724985, -1.30828876,
0.953815692, 0.294006718, -0.322402355, 0.772943073, -1.039769901,
-0.524735232, 0.480403365, -0.608716426, 2.424743892), FTSE = c(0,
-11.51242833, 0, 0, 2.426278461, -4.089684981, 2.753769171, -4.131866483,
1.388385888, 0, 0, 0.757468772, -3.866880972, 8.666806528, 4.351062317,
2.217246187, 0, 0, -5.394180302, 0.964603152, 1.926419302, -3.908094761,
0.469145673, 0, 0, -1.188003385, 3.035178781, 2.16295719, -0.469506704,
0, 0, 0, 0, 2.863466763, -0.882765444, -3.401165134, 0.548367322,
0, 0, 2.777657049, 0.446043297, -3.000087055, 2.271458705, 0.965409611,
0, 0, -1.28477504, 1.630518698, 1.892597885, 2.596687983, -3.562823675,
0, 0, -2.368883099, -0.161155352, 1.64854809, 0.074167879, 0.786816109,
0, 0, 0.607978568, 0.063154121, 0.922374464, -1.524886634, -2.791108907,
0, 0, 1.009079456, 4.200692544, -0.769412019, 1.075955395, -0.859270947,
0, 0, -0.253844209, -0.112062767, 1.23506674, 1.252717616, 1.205866894, 0, 0, -2.313002503, 1.467311358, 0.867397192, 2.575335444, -0.643989698,
0, 0, 2.227799854, -0.180753301, -2.137287591, -0.104067566,
-4.070100048, 0, 0, 0.467580569, -0.665251412, 2.894212081, 0.167413076,
-0.4677295, 0, 0, 1.095030624, -0.765404679, 1.201790227, -3.157333932,
0.3822077, 0, 0, 0.197620172, 1.073399476, -0.904043184, -0.191114378,
1.329231916, 0, 0, -1.339950325, 2.067702354), CAC40 = c(0, 0.774648018,
0, 0, -11.35672623, 2.01019453, -3.364346288, 0.011000439, 4.988650099,
0, 0, -0.275133506, 3.474473404, 4.838041298, 2.013497556, -1.602039821,
0, 0, -2.084020773, 2.020261598, -4.621890661, -0.026487738,
-1.202115854, 0, 0, 3.236118892, 3.927849378, -1.891844369, 2.246590318,
0, 0, 0, 0, 0.74878139, -1.149920287, -2.389384871, 2.946442727,
0, 0, -0.428094535, -1.199528183, -1.343264851, 1.75760992, -1.054720816,
0, 0, 1.262694086, 2.123235067, 1.659149759, 0.868426202, -6.386441747,
0, 0, 1.452449566, -0.186260453, 0.440138226, 1.241172007, 0.209639779,
0, 0, -1.551885508, -1.71824185, -2.506541481, 0.520521974, 3.916509199,
0, 0, 0.599668796, -0.803026938, -0.038008996, -0.50660781, 1.432262711,
0, 0, 1.745288439, 1.975025165, 1.518550507, -0.319064349, 0.275995686,
0, 0, 2.031081456, 2.953801244, 0.521867999, 2.86586661, 0.269270674,
0, 0, -0.196792066, -0.9843772, -3.881283509, -0.313425718, -2.029445097,
0, 0, 3.356420471, 0.399656489, -0.19235332, 0.463130883, -0.678223777,
0, 0, 0.79401892, -0.841169695, -1.248357253, 1.463750889, -0.744564839,
0, 0, -0.206737543, -0.08015532, 2.179024606, -0.201278383, 1.16279124,
0, 0, -1.281182048, -0.316924829), IBEX = c(0, -4.015166595,
0, 0, -6.611190487, 1.77688523, -1.154909442, -0.036107373, 4.260798554,
0, 0, -6.556025471, 3.312297904, 8.240622234, -2.859016259, 1.863515015,
0, 0, -2.460371498, -0.026680099, -1.787083749, 0.09652953, -1.062349946,
0, 0, 3.654444032, 2.595326498, -0.81482522, 1.70395925, 0, 0,
0, 0, 2.249907515, -2.018941651, -1.926273357, 0.168672168, 0,
0, -0.144144169, -2.796774277, -0.837157177, 1.094940876, -1.752289462,
0, 0, 2.080212396, -0.833736331, 1.546434891, 3.671480892, -4.102900439,
0, 0, -0.476128829, 0.066470211, -0.776766283, -0.072943993,
1.122513452, 0, 0, 0.590236439, -2.343181731, 0.318699795, -1.874340375,
0.375259012, 0, 0, -0.171501526, 4.18137538, -4.025039386, 0.292293813, 0.083138716, 0, 0, 2.217530048, 2.538948064, 1.336729382, 2.849264767,
-1.013784957, 0, 0, 0.894890847, 0.487140068, 3.027758456, 1.068099028,
1.368812144, 0, 0, 1.822448708, 0.829765148, -1.256887028, -3.842920726,
-3.455809406, 0, 0, -1.607108095, 4.181461822, 0.501386143, -0.291385563,
0.104838429, 0, 0, -0.980043962, 0.503366428, -0.066158138, -3.120902426,
2.042704228, 0, 0, -2.270093215, 1.531487153, -0.344443096, 0.647947296,
2.940151119, 0, 0, 0.745522339, -0.996156464), FTSE.MIB = c(0,
6.478657414, 0, 0, -8.713967258, 2.971710281, -0.818558459, 2.281982761,
1.025718331, 0, 0, -1.059197858, 8.673787768, 2.180535239, 0.33589283,
-3.361251643, 0, 0, 1.2737458, 1.426644321, -3.433813758, 1.915412281,
-2.327990225, 0, 0, 3.725764425, 2.279198953, -0.248065806, 1.537498745,
0, 0, 0, 0, -0.355861881, -5.089043376, 0.331512367, 1.785870217,
0, 0, 0.084251073, -3.794626094, 1.967398275, 1.35692246, -1.069398938,
0, 0, 3.144894356, 1.812632119, 2.019921934, -2.136255126, 0.005819875,
0, 0, -3.765527437, 1.950872714, -1.330370106, 0.515156285, 1.075630635,
0, 0, -0.278197226, 0.996734978, -2.117328453, -1.985657588,
-0.061162081, 0, 0, 3.935012568, -2.00814733, 0.937796199, -0.787875629,
1.339265873, 0, 0, 1.67686856, 1.425915342, 0.309048492, 2.399550556,
-0.834715359, 0, 0, 1.800745523, 2.466700783, 3.511548403, -0.026026078,
2.736942679, 0, 0, 0.18724228, -1.523247058, -0.778173939, -4.990828088,
0.407045147, 0, 0, -0.238598888, 3.357936865, -0.168137913, -0.553696671,
0.732333823, 0, 0, -0.447192643, 1.849389247, -3.502846731, 0.37989291,
-0.605299542, 0, 0, 1.746955378, -0.375572395, -0.297224358,
2.897083096, -0.902542565, 0, 0, 1.730459772, -0.148622705),
DAX = c(0, -3.962416071, 0, 0, -8.267534893, 4.619714359,
-5.94750608, -1.37249229, 6.653975359, 0, 0, -6.179698287,
7.943363148, 7.755649021, -3.734814024, 1.774574581, 0, 0,
-0.692852647, 2.486944471, -3.678587895, -0.241898804, -0.545739618,
0, 0, 3.642850658, 5.652524493, -1.565596681, 1.818904419,
0, 0, 0, 0, 2.292909463, -0.521013538, -2.445135548, 1.779516903,
0, 0, 0.910304385, -1.742522695, -1.4283844, 0.645246315,
-1.33166904, 0, 0, 2.415037388, 1.012760465, 1.437018731,
3.476093971, -3.593987412, 0, 0, -2.404985624, 0.790824147,
0.838102357, -0.709269322, 2.245763127, 0, 0, 0.602823176,
-1.569581674, -1.00477679, -2.389620928, 0.50562871, 0, 0, 2.013898553, 4.726172633, -1.543782979, 0.531617691, -1.745281832,
0, 0, 2.624512571, 2.672261318, 0.358049471, 1.86094803,
-0.832705918, 0, 0, 0.433674051, 1.667220893, 2.083105392,
1.980001229, 1.403578775, 0, 0, 1.245832284, 1.072227189,
-1.099976766, -3.975494813, -2.880559799, 0, 0, -1.826737346,
4.255914992, 1.177017127, 0.284267016, 0.224005025, 0, 0,
-1.470946347, 1.348934322, 0.803553089, -2.911687872, 1.689707,
0, 0, -1.787587935, 1.62057172, 0.841021406, -0.104317561,
2.124491454, 0, 0, 1.024188545, -0.901760632), BEL20 = c(0,
-7.721073209, 0, 0, -6.395446119, 0.475891576, -4.577953185,
4.432877014, 4.820017918, 0, 0, -3.140294237, 4.351636127,
6.441842354, -4.376561949, 2.734014577, 0, 0, -2.694416237,
0.3294942, -0.95085433, 1.460094533, 0.109728329, 0, 0, 2.858031344,
2.358508703, -0.21962883, 2.501899079, 0, 0, 0, 0, 0.794376545,
-2.780286932, -2.681516656, 1.704588628, 0, 0, 0.683862224,
-1.7374406, -1.364711341, 0.943518078, -0.079129512, 0, 0,
1.231671711, 1.154540957, 2.774338317, 2.283180373, -3.437015815,
0, 0, -2.331831465, -0.207583846, 0.03551213, -0.020243688,
2.888853174, 0, 0, -0.703467155, -0.961238403, -0.849143863,
-3.611025624, 0.769050678, 0, 0, 1.054780357, 2.594691666,
-3.484956931, -0.359291603, -0.981335253, 0, 0, 2.540437345,
2.060545311, 4.524955144, 2.498384707, -0.607669174, 0, 0,
0.305371947, 1.081587359, 1.579211194, 2.113864216, 1.99659662,
0, 0, 0.975296787, 0.460889161, -0.974793044, -4.149842246,
-3.480407742, 0, 0, -0.457448708, 5.409397919, 1.031936981,
-0.307997996, 0.22570579, 0, 0, -2.601062527, 1.639376123,
0.068412409, -3.648701409, 2.898014373, 0, 0, -2.921457641,
1.473797426, 0.059090222, 0.857813088, 1.259427888, 0, 0,
1.115232574, 0.416038333), PSI.20 = c(0, -3.626605842, -3.626605842,
-3.626605842, -6.924465435, 4.688159085, -0.087190375, -2.990869661,
0.142023383, 0.142023383, 0.142023383, -3.984590855, 4.501741805,
7.718751795, -2.62428232, 1.419320217, 1.419320217, 1.419320217,
-0.925998172, 2.238949227, -0.465881735, 0.454441425, -0.866541613,
-0.866541613, -0.866541613, 1.063579647, 1.619650027, -0.910503506,
1.281789402, 0, 0, 0, 0, 3.973925419, -0.978774568, -1.618398677, 0.484358682, 0.484358682, 0.484358682, -0.680155716, -1.470942501,
-1.496122939, 2.312029411, -0.302059371, -0.302059371, -0.302059371,
0.686915429, -0.616773796, 2.694536955, 2.530617658, 0, 0,
0, -3.18909545, 0.681619709, -0.435634648, -0.795936685,
1.943279594, 1.943279594, 1.943279594, -0.55575812, -1.748406044,
-2.01791088, -0.941493608, -1.226987904, -1.226987904, -1.226987904,
1.658007111, 3.750163308, -1.504545394, 0.358308841, 0.249958829,
0.249958829, 0.249958829, 1.786942546, 1.678683926, -0.307676179,
0.340469955, 1.032565123, 1.032565123, 1.032565123, 0.006627216,
2.009141329, 3.118714163, -0.002388067, 0.836019886, 0.836019886,
0.836019886, -1.976409073, 1.231746391, -1.41835195, -3.120253847,
-2.190496685, -2.190496685, -2.190496685, -0.362109554, 2.323555834,
1.000497272, -0.118991293, 0.478933182, 0.478933182, 0.478933182,
-0.612290454, 0.226218671, -0.110226132, -1.874060306, 0.176103072,
0.176103072, 0.176103072, -0.411697746, 1.187030939, -0.585114063,
0.124706413, 1.255071177, 1.255071177, 1.255071177, 0.362917894,
-1.622562706), BIST.100 = c(0, -4.98786403, -4.98786403,
-4.98786403, -1.499581677, -3.688320621, -4.774654712, 0.192084529,
2.645414116, 2.645414116, 2.645414116, -4.902867823, 5.307930509,
3.310988052, -1.737294292, 3.179576892, 3.179576892, 3.179576892,
-4.336195042, 1.514564885, -1.118475321, 1.642419835, -0.149418522,
-0.149418522, -0.149418522, 1.522706231, 2.373009273, -0.745468183,
1.920201216, 2.022370948, 2.022370948, 2.022370948, -0.770101477,
2.102132819, 1.480407415, -2.28886921, 1.621632208, 1.621632208,
1.621632208, 0.380809705, -0.298431932, -0.243260831, 0.174108755,
0.151462044, 0.151462044, 0.151462044, 1.649116881, 1.445253769,
-0.326502719, 0.771626993, 0, 0, 0, -1.722663119, -0.620349384,
-0.753580032, -0.30992702, 0.327117056, 0.327117056, 0.327117056,
-0.48955364, -0.503194404, 1.800373477, 0.303435663, -0.330519216,
-0.330519216, -0.330519216, 1.215520388, 0, 1.568455224,
-0.261826289, 0.22474335, 0.22474335, 0.22474335, 0, 0, 1.303278536,
1.679491505, -0.353992749, -0.353992749, -0.353992749, 1.226487519,
1.219976955, 1.050241757, 0.419587442, 0.691489452, 0.691489452,
0.691489452, 0.171448052, -0.351376129, -0.314286624, -0.206417274,
-0.81612872, -0.81612872, -0.81612872, 0.833498799, 1.291524165, 0.484358682, 0.484358682, 0.484358682, -0.680155716, -1.470942501,
-1.496122939, 2.312029411, -0.302059371, -0.302059371, -0.302059371,
0.686915429, -0.616773796, 2.694536955, 2.530617658, 0, 0,
0, -3.18909545, 0.681619709, -0.435634648, -0.795936685,
1.943279594, 1.943279594, 1.943279594, -0.55575812, -1.748406044,
-2.01791088, -0.941493608, -1.226987904, -1.226987904, -1.226987904,
1.658007111, 3.750163308, -1.504545394, 0.358308841, 0.249958829,
0.249958829, 0.249958829, 1.786942546, 1.678683926, -0.307676179,
0.340469955, 1.032565123, 1.032565123, 1.032565123, 0.006627216,
2.009141329, 3.118714163, -0.002388067, 0.836019886, 0.836019886,
0.836019886, -1.976409073, 1.231746391, -1.41835195, -3.120253847,
-2.190496685, -2.190496685, -2.190496685, -0.362109554, 2.323555834,
1.000497272, -0.118991293, 0.478933182, 0.478933182, 0.478933182,
-0.612290454, 0.226218671, -0.110226132, -1.874060306, 0.176103072,
0.176103072, 0.176103072, -0.411697746, 1.187030939, -0.585114063,
0.124706413, 1.255071177, 1.255071177, 1.255071177, 0.362917894,
-1.622562706), BIST.100 = c(0, -4.98786403, -4.98786403,
-4.98786403, -1.499581677, -3.688320621, -4.774654712, 0.192084529,
2.645414116, 2.645414116, 2.645414116, -4.902867823, 5.307930509,
3.310988052, -1.737294292, 3.179576892, 3.179576892, 3.179576892,
-4.336195042, 1.514564885, -1.118475321, 1.642419835, -0.149418522,
-0.149418522, -0.149418522, 1.522706231, 2.373009273, -0.745468183,
1.920201216, 2.022370948, 2.022370948, 2.022370948, -0.770101477,
2.102132819, 1.480407415, -2.28886921, 1.621632208, 1.621632208,
1.621632208, 0.380809705, -0.298431932, -0.243260831, 0.174108755,
0.151462044, 0.151462044, 0.151462044, 1.649116881, 1.445253769,
-0.326502719, 0.771626993, 0, 0, 0, -1.722663119, -0.620349384,
-0.753580032, -0.30992702, 0.327117056, 0.327117056, 0.327117056,
-0.48955364, -0.503194404, 1.800373477, 0.303435663, -0.330519216,
-0.330519216, -0.330519216, 1.215520388, 0, 1.568455224,
-0.261826289, 0.22474335, 0.22474335, 0.22474335, 0, 0, 1.303278536,
1.679491505, -0.353992749, -0.353992749, -0.353992749, 1.226487519,
1.219976955, 1.050241757, 0.419587442, 0.691489452, 0.691489452,
0.691489452, 0.171448052, -0.351376129, -0.314286624, -0.206417274,
-0.81612872, -0.81612872, -0.81612872, 0.833498799, 1.291524165, 0.41963897, -0.147483367, 2.175643724, 2.175643724, 2.175643724,
0.998860501, 0.795426176, -0.214731711, -0.850454071, 0.631785605,
0.631785605, 0.631785605, -0.296659968, 1.427347526, 0.635292427,
-1.136434389, 1.262669032, 1.262669032, 1.262669032, -0.548742776,
1.799034361), EUROSTOXX = c(0, -10.9440235, -10.9440235,
-10.9440235, -1.036556819, -3.279920626, 1.29053213, -4.836868903,
3.544720716, 3.544720716, 3.544720716, 1.81523995, -0.511925129,
9.480939662, 0.321211245, 1.337076277, 1.337076277, 1.337076277,
-2.462019513, 1.66364711, -0.731234332, -2.47222268, -0.262492715,
-0.262492715, -0.262492715, 0.586126591, 4.262977967, 0.9432134,
0.637402127, 0.000349107, 0.000349107, 0.000349107, 0.000349105,
1.618202554, 0.106428643, -3.051970022, 0.543326203, 0.543326203,
0.543326203, 1.841080691, -0.184632033, -3.119904107, 1.295128361,
0.000352445, 0.000352445, 0.000352445, 0.05743188, 1.532772499,
1.776816036, 2.314804335, -2.538602792, -2.538602792, -2.538602792,
-0.996778361, -2.393459247, 1.61635823, -1.176037767, 1.748022548,
1.748022548, 1.748022548, 0.784004484, -1.280924884, -0.229540568,
-2.665064962, -0.683544376, -0.683544376, -0.683544376, 0.811837717,
4.575724386, -1.224039942, 1.103879212, -1.31581072, -1.31581072,
-1.31581072, 1.023340336, 2.187203364, 0.682731027, 1.803164227,
0.750101636, 0.750101636, 0.750101636, 0.000324487, 1.34595785,
1.467623525, 2.841508456, 0.636712167, 0.636712167, 0.636712167,
2.239566229, 0.365810544, -1.231821498, -1.933022506, -4.013459761,
-4.013459761, -4.013459761, -0.120957783, 0.782513941, 2.628619855,
0.633158854, -0.112616944, -0.112616944, -0.112616944, 0.074580717,
-0.18732463, 1.090448004, -2.860531958, 1.147555362, 1.147555362,
1.147555362, -1.148806836, 1.233209246, 0.123229366, -0.01172959,
2.510301279, 2.510301279, 2.510301279, -0.223922411, 0.731088822
), OMXS30 = c(0, -3.834017397, -3.834017397, -3.834017397,
-5.487939817, 4.557978301, -2.617362534, 1.060084558, 5.576946907, 5.576946907, 5.576946907, -9.767793582, 4.620189418, 5.422726809,
-1.074593455, 2.971293007, 2.971293007, 2.971293007, -1.744024558,
2.985172819, -2.268343866, -0.166197897, -0.763599808, -0.763599808,
-0.763599808, 1.215650949, 3.433609125, 0.040827664, 1.620903668,
0.000658408, 0.000658408, 0.000658408, 0.000658404, 0.722938977,
0.105836708, -2.311905713, 1.906244223, 1.906244223, 1.906244223,
1.523151163, -1.51135067, -1.112726625, 1.798038921, -1.330477946,
-1.330477946, -1.330477946, 1.388406136, 0.374745115, 1.531707232,
2.289085116, -1.381576743, -1.381576743, -1.381576743, -3.129391669,
-0.429120635, 0.669043037, -0.410434337, 1.275359267, 1.275359267,
1.275359267, 1.245272601, -1.346032833, 0.201419039, -2.826946309,
-1.091281333, -1.091281333, -1.091281333, 1.975672964, 3.625115274,
-1.931811682, -0.258300218, -0.190754316, -0.190754316, -0.190754316,
1.961439833, 2.186357863, 0.12951192, 1.84770878, 0.310444661,
0.310444661, 0.310444661, 0.538092835, 0.404995899, 1.591310581,
1.10532289, 0.407272864, 0.407272864, 0.407272864, 0.767827418,
-0.198091762, -1.106275827, -2.721917301, -4.000089573, -4.000089573,
-4.000089573, -0.777113581, 4.516461011, 1.439773727, -0.462627142,
-0.666269893, -0.666269893, -0.666269893, 0.000603877, 0.803540847,
0.429190339, -2.527942006, 2.581014391, 2.581014391, 2.581014391,
-1.295466049, 1.128998726, -0.559903495, 1.565217742, 0.78788786,
0.78788786, 0.78788786, 1.004957335, 0.014515853)), class = "data.frame", row.names = c("12/03/2020",
"13/03/2020", "14/03/2020", "15/03/2020", "16/03/2020", "17/03/2020",
"18/03/2020", "19/03/2020", "20/03/2020", "21/03/2020", "22/03/2020",
"23/03/2020", "24/03/2020", "25/03/2020", "26/03/2020", "27/03/2020",
"28/03/2020", "29/03/2020", "30/03/2020", "31/03/2020", "01/04/2020",
"02/04/2020", "03/04/2020", "04/04/2020", "05/04/2020", "06/04/2020",
"07/04/2020", "08/04/2020", "09/04/2020", "10/04/2020", "11/04/2020",
"12/04/2020", "13/04/2020", "14/04/2020", "15/04/2020", "16/04/2020",
"17/04/2020", "18/04/2020", "19/04/2020", "20/04/2020", "21/04/2020",
"22/04/2020", "23/04/2020", "24/04/2020", "25/04/2020", "26/04/2020",
"27/04/2020", "28/04/2020", "29/04/2020", "30/04/2020", "01/05/2020", "02/05/2020", "03/05/2020", "04/05/2020", "05/05/2020", "06/05/2020",
"07/05/2020", "08/05/2020", "09/05/2020", "10/05/2020", "11/05/2020",
"12/05/2020", "13/05/2020", "14/05/2020", "15/05/2020", "16/05/2020",
"17/05/2020", "18/05/2020", "19/05/2020", "20/05/2020", "21/05/2020",
"22/05/2020", "23/05/2020", "24/05/2020", "25/05/2020", "26/05/2020",
"27/05/2020", "28/05/2020", "29/05/2020", "30/05/2020", "31/05/2020",
"01/06/2020", "02/06/2020", "03/06/2020", "04/06/2020", "05/06/2020",
"06/06/2020", "07/06/2020", "08/06/2020", "09/06/2020", "10/06/2020",
"11/06/2020", "12/06/2020", "13/06/2020", "14/06/2020", "15/06/2020",
"16/06/2020", "17/06/2020", "18/06/2020", "19/06/2020", "20/06/2020",
"21/06/2020", "22/06/2020", "23/06/2020", "24/06/2020", "25/06/2020",
"26/06/2020", "27/06/2020", "28/06/2020", "29/06/2020", "30/06/2020",
"01/07/2020", "02/07/2020", "03/07/2020", "04/07/2020", "05/07/2020",
"06/07/2020", "07/07/2020"))
#LES LIBRAIRIES ET LA PERIODE D'ETUDE
library(corrplot)
library(dplyr)
library(psych)
library(lattice)
library(plotly)
library(rgl)
library(scatterplot3d)
library(rmgarch)
library(rugarch)
library(tseries)
library(zoo)
library(FinTS)
library(ggplot2)
library(reprex)
Period<-seq(as.Date("2020/3/11"), by="days", length.out = 118 )
#LES COUPLES
BTC_CAC40= data.frame(data$BTC, data$CAC40)
BTC_DAX= data.frame(data$BTC, data$DAX)
BTC_FTSE= data.frame(data$BTC, data$FTSE)
BTC_IBEX= data.frame(data$BTC, data$IBEX)
BTC_FTSEMIB= data.frame(data$BTC, data$FTSE.MIB)
BTC_BEL20= data.frame(data$BTC, data$BEL20)
BTC_EUROSTOXX= data.frame(data$BTC, data$EUROSTOXX)
BTC_BIST.100= data.frame(data$BTC, data$BIST.100)
BTC_OMXS30= data.frame(data$BTC, data$OMXS30)
BTC_PSI.20= data.frame(data$BTC, data$PSI.20)
#GARCH
garch11.spec = ugarchspec(variance.model=list(model="sGARCH", garchOrder=c(1,1)),
mean.model=list(armaOrder=c(0,0), include.mean=TRUE),
distribution.model="norm")
dcc.garch11.spec = dccspec(uspec= multispec( replicate(2, garch11.spec)),
dccOrder= c(1,1),
distribution = "mvnorm")
#LES DCC
#1. BTC_CAC40
dcc.fit = dccfit(dcc.garch11.spec, data = BTC_CAC40)
rcorr = rcor(dcc.fit)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_CAC40)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_CAC = zoo(rho.est, order.by=index(BTC_CAC40[,1]))
#2.BTC_FTSE
dcc.fit_FTSE = dccfit(dcc.garch11.spec, data = BTC_FTSE)
rcorr1=rcor(dcc.fit_FTSE)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_FTSE, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_FTSE)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_FTSE = zoo(rho.est, order.by=index(BTC_FTSE[,1]))
#3. BTC_DAX
dcc.fit_DAX = dccfit(dcc.garch11.spec, data = BTC_DAX )
rcorr = rcor(dcc.fit_DAX)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_DAX, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_DAX)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_DAX = zoo(rho.est, order.by=index(BTC_DAX[,1]))
#4. BTC_IBEX
dcc.fit_IBEX = dccfit(dcc.garch11.spec, data = BTC_IBEX)
dcc.fit_IBEX
rcorr = rcor(dcc.fit_IBEX)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_IBEX, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_IBEX)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_IBEX = zoo(rho.est, order.by=index(BTC_IBEX[,1]))
#5. BTC_BEL20
dcc.fit_BEL20 = dccfit(dcc.garch11.spec, data = BTC_BEL20)
rcorr = rcor(dcc.fit_BEL20)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_BEL20, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_BEL20)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_BEL20 = zoo(rho.est, order.by=index(BTC_BEL20[,1]))
# 6. BTC_FTSE.MIB
dcc.fit_FTSE.MIB = dccfit(dcc.garch11.spec, data = BTC_FTSEMIB)
rcorr = rcor(dcc.fit_FTSE.MIB)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_FTSE.MIB, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_FTSEMIB)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_FTSEMIB = zoo(rho.est, order.by=index(BTC_FTSEMIB[,1]))
#7. BTC_BIST
dcc.fit_BIST.100 = dccfit(dcc.garch11.spec, data = BTC_BIST.100)
rcorr = rcor(dcc.fit_BIST.100)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_BIST.100, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_BIST.100)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_BIST.100 = zoo(rho.est, order.by=index(BTC_BIST.100[,1]))
# 9.BTC_PSI
dcc.fit_PSI.20 = dccfit(dcc.garch11.spec, data = BTC_PSI.20)
rcorr = rcor(dcc.fit_PSI.20)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_PSI.20, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_PSI.20)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_PSI.20 = zoo(rho.est, order.by=index(BTC_PSI.20[,1]))
#10. BTC_EUROSTOXX
dcc.fit_EUROSTOXX = dccfit(dcc.garch11.spec, data = BTC_EUROSTOXX)
rcorr = rcor(dcc.fit_EUROSTOXX)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_EUROSTOXX, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_EUROSTOXX)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_EUROSTOXX = zoo(rho.est, order.by=index(BTC_EUROSTOXX[,1]))
#11.BTC_OMXS30
dcc.fit_OMXS30 = dccfit(dcc.garch11.spec, data = BTC_OMXS30)
rcorr = rcor(dcc.fit_OMXS30)
rho.est.line <- list()
rho.est.line = rcor(dcc.fit_OMXS30, type="R") # plot(rho.est.line[1,2,])
outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_OMXS30)[1], byrow = TRUE)
rho.est = data.frame((outputcorr))
Corr_BTC_OMXS30 = zoo(rho.est, order.by=index(BTC_OMXS30[,1]))
#Enfin le code qui pose problème malgré l'utilisation de xlim= c(-10,10)
matplot(Period, cbind(Corr_BTC_BEL20,Corr_BTC_DAX, Corr_BTC_CAC,
Corr_BTC_OMXS30, Corr_BTC_EUROSTOXX, Corr_BTC_PSI.20,
Corr_BTC_FTSEMIB, Corr_BTC_FTSE), type="l",
lty=c(1,1), main= "Bitcoin correlations")
Code : Tout sélectionner
> BTC_BIST.100= data.frame(data$BTC, data$BIST.100)
Error in data.frame(data$BTC, data$BIST.100) :
> #7. BTC_BIST
> dcc.fit_BIST.100 = dccfit(dcc.garch11.spec, data = BTC_BIST.100)
Error in .dccfit(spec = spec, data = data, out.sample = out.sample, solver = solver, :
objet 'BTC_BIST.100' introuvable
> rcorr = rcor(dcc.fit_BIST.100)
Error in h(simpleError(msg, call)) :
erreur d'évaluation de l'argument 'object' lors de la sélection d'une méthode pour la fonction 'rcor' : objet 'dcc.fit_BIST.100' introuvable
> rho.est.line <- list()
> rho.est.line = rcor(dcc.fit_BIST.100, type="R") # plot(rho.est.line[1,2,])
Error in h(simpleError(msg, call)) :
erreur d'évaluation de l'argument 'object' lors de la sélection d'une méthode pour la fonction 'rcor' : objet 'dcc.fit_BIST.100' introuvable
> outputcorr <- matrix((rho.est.line[1,2,]), nrow = dim(BTC_BIST.100)[1], byrow = TRUE)
Error in rho.est.line[1, 2, ] : nombre de dimensions incorrect
> rho.est = data.frame((outputcorr))
> Corr_BTC_BIST.100 = zoo(rho.est, order.by=index(BTC_BIST.100[,1]))
Error in index(BTC_BIST.100[, 1]) : objet 'BTC_BIST.100' introuvable
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