Execution

Sys.time()

[1] “2014-10-20 14:19:44 JST”

Plot entire period

Level,1st Difference,Logarithmic Return and Return in the last 7days

## Level
##            AUD.USD NZD.USD ZAR.USD CAD.USD NOK.USD
## 2014-10-14  0.8736  0.7865 0.09043  0.8929  0.1540
## 2014-10-15  0.8750  0.7871 0.09051  0.8904  0.1533
## 2014-10-16  0.8742  0.7874 0.09037  0.8835  0.1519
## 2014-10-17  0.8766  0.7956 0.09011  0.8868  0.1522
## 2014-10-18  0.8766  0.7940 0.09017  0.8889  0.1528
## 2014-10-19  0.8749  0.7923 0.09031  0.8871  0.1529
## 2014-10-20  0.8749  0.7923 0.09031  0.8871  0.1529
## 
## 
## 1st Difference
##            AUD.USD NZD.USD  ZAR.USD CAD.USD NOK.USD
## 2014-10-14  0.0046  0.0046  0.00039 -0.0006  0.0003
## 2014-10-15  0.0014  0.0006  0.00008 -0.0025 -0.0007
## 2014-10-16 -0.0008  0.0003 -0.00014 -0.0069 -0.0014
## 2014-10-17  0.0024  0.0082 -0.00026  0.0033  0.0003
## 2014-10-18  0.0000 -0.0016  0.00006  0.0021  0.0006
## 2014-10-19 -0.0017 -0.0017  0.00014 -0.0018  0.0001
## 2014-10-20  0.0000  0.0000  0.00000  0.0000  0.0000
## 
## 
## Logarithmic Return
##                  AUD.USD       NZD.USD       ZAR.USD       CAD.USD       NOK.USD
## 2014-10-14  0.0052794797  0.0058658674  0.0043220547 -0.0006717421  0.0019499519
## 2014-10-15  0.0016012814  0.0007625827  0.0008842711 -0.0028037926 -0.0045558165
## 2014-10-16 -0.0009147039  0.0003810734 -0.0015479879 -0.0077795082 -0.0091743763
## 2014-10-17  0.0027416056  0.0103601685 -0.0028812077  0.0037281860  0.0019730358
## 2014-10-18  0.0000000000 -0.0020130857  0.0006656313  0.0023652655  0.0039344313
## 2014-10-19 -0.0019411939 -0.0021433533  0.0015514188 -0.0020270277  0.0006542362
## 2014-10-20  0.0000000000  0.0000000000  0.0000000000  0.0000000000  0.0000000000
## 
## 
## Return
##            AUD.USD NZD.USD ZAR.USD CAD.USD NOK.USD
## 2014-10-14    0.53    0.59    0.43   -0.07    0.20
## 2014-10-15    0.16    0.08    0.09   -0.28   -0.45
## 2014-10-16   -0.09    0.04   -0.15   -0.77   -0.91
## 2014-10-17    0.27    1.04   -0.29    0.37    0.20
## 2014-10-18    0.00   -0.20    0.07    0.24    0.39
## 2014-10-19   -0.19   -0.21    0.16   -0.20    0.07
## 2014-10-20    0.00    0.00    0.00    0.00    0.00

Unit Root Test

## Level
## AUD.USD 
## from 2013-06-08 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -2.1394, Lag order = 7, p-value = 0.5193
## alternative hypothesis: stationary
## 
## 
## Level
## NZD.USD 
## from 2013-06-08 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -1.0278, Lag order = 7, p-value = 0.9342
## alternative hypothesis: stationary
## 
## 
## Level
## ZAR.USD 
## from 2013-06-08 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -2.72, Lag order = 7, p-value = 0.2735
## alternative hypothesis: stationary
## 
## 
## Level
## CAD.USD 
## from 2013-06-08 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -2.2103, Lag order = 7, p-value = 0.4893
## alternative hypothesis: stationary
## 
## 
## Level
## NOK.USD 
## from 2013-06-08 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -2.6732, Lag order = 7, p-value = 0.2934
## alternative hypothesis: stationary
## 
## 
## 1stDifference
## AUD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.7842, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## 1stDifference
## NZD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.789, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## 1stDifference
## ZAR.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.9991, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## 1stDifference
## CAD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -8.5209, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## 1stDifference
## NOK.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.8524, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## LogarithmicReturn
## AUD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.7585, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## LogarithmicReturn
## NZD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.7662, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## LogarithmicReturn
## ZAR.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -8.0196, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## LogarithmicReturn
## CAD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -8.5531, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## LogarithmicReturn
## NOK.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.8669, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## Return
## AUD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.7676, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## Return
## NZD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.7616, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## Return
## ZAR.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -8.0113, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## Return
## CAD.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -8.5459, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary
## 
## 
## Return
## NOK.USD 
## from 2013-06-09 to 2014-10-20 
## 
##  Augmented Dickey-Fuller Test
## 
## data:  buf
## Dickey-Fuller = -7.8602, Lag order = 7, p-value = 0.01
## alternative hypothesis: stationary

Plot with smoothed line.Period 1year

Forecast by ARIMA

## AUD.USD 
## from 2013-06-08 to 2014-10-20 
## [1] 0.9802129
## [1] 0.29102262 0.06558566
## numeric(0)
## 
## Forecast 
##    Lower70%      Mean  Upper70%
## 1 0.8718491 0.8755600 0.8792709
## 2 0.8703739 0.8763760 0.8823781
## 3 0.8694542 0.8771819 0.8849097
## 4 0.8688899 0.8779719 0.8870538
## 5 0.8685308 0.8787462 0.8889616
## Unit Root Test of Level p.value= 0.519272050211132 
## Unit Root Test of 1st Difference p.value= 0.01 
## 
## 
## NZD.USD 
## from 2013-06-08 to 2014-10-20 
## [1] 0.2437201
## numeric(0)
## [1] 1
## 
## Forecast 
##    Lower70%   Mean  Upper70%
## 1 0.7888351 0.7923 0.7957649
## 2 0.7867705 0.7923 0.7978295
## 3 0.7851612 0.7923 0.7994388
## 4 0.7838263 0.7923 0.8007737
## 5 0.7826689 0.7923 0.8019311
## Unit Root Test of Level p.value= 0.934224335527093 
## Unit Root Test of 1st Difference p.value= 0.01 
## 
## 
## ZAR.USD 
## from 2013-06-08 to 2014-10-20 
## numeric(0)
## [1] 0.2223267
## [1] 1
## 
## Forecast 
##     Lower70%      Mean   Upper70%
## 1 0.08982113 0.0903043 0.09078747
## 2 0.08954125 0.0903043 0.09106735
## 3 0.08933940 0.0903043 0.09126920
## 4 0.08917300 0.0903043 0.09143560
## 5 0.08902812 0.0903043 0.09158048
## Unit Root Test of Level p.value= 0.273548002023852 
## Unit Root Test of 1st Difference p.value= 0.01 
## 
## 
## CAD.USD 
## from 2013-06-08 to 2014-10-20 
## [1] 0.03861183
## [1] 0.2552502
## [1] 1
## 
## Forecast 
##    Lower70%      Mean  Upper70%
## 1 0.8848207 0.8872512 0.8896818
## 2 0.8832825 0.8872571 0.8912317
## 3 0.8821719 0.8872573 0.8923428
## 4 0.8812629 0.8872573 0.8932517
## 5 0.8804747 0.8872573 0.8940399
## Unit Root Test of Level p.value= 0.489288556078432 
## Unit Root Test of 1st Difference p.value= 0.01 
## 
## 
## NOK.USD 
## from 2013-06-08 to 2014-10-20 
## numeric(0)
## [1] 0.4128222
## [1] 1
## 
## Forecast 
##    Lower70%      Mean  Upper70%
## 1 0.1522855 0.1529039 0.1535224
## 2 0.1518334 0.1529039 0.1539744
## 3 0.1515221 0.1529039 0.1542858
## 4 0.1512690 0.1529039 0.1545388
## 5 0.1510502 0.1529039 0.1547577
## Unit Root Test of Level p.value= 0.293359089751906 
## Unit Root Test of 1st Difference p.value= 0.01

Autocorrelation

Ranking of Return

Data Source/Reference