getSymbols("^GSPC")
getSymbols("NIKKEI225",src="FRED") # download nikkei 225
getSymbols("YJUSDJPY",src="yahooj")
N225 <- NIKKEI225
k3 <- "2007-01-01:
:2017-11-30"
result <- summary
(lm
(to
.monthly
(N225
[k3]
)[
,4] ~ to
.monthly
(GSPC
[k3]
)[
,4] + to
.monthly
(YJUSDJPY
[k3]
)[
,4]))
result$coefficients
[2
]*last
(GSPC
)[
,4
]+result$coefficients
[3
]*last
(YJUSDJPY
)[
,4
]+result$coefficients
[1]
beep(2)
# or
getFX("USD/JPY")
YJUSDJPY <- USDJPY
> k3 <- "2007-01-01:
:2017-11-30"
>
result <- summary
(lm
(to
.monthly
(N225
[k3]
)[
,4] ~ to
.monthly
(GSPC
[k3]
)[
,4] + to
.monthly
(YJUSDJPY
[k3]
)[
,4]))
警告メッセージ:
to.period
(x, "months",
indexAt =
indexAt, name = name,
...) で:
missing values removed from
data
>
>
result
Call:
lm(formula = to
.monthly
(N225
[k3]
)[, 4] ~ to
.monthly
(GSPC
[k3]
)[,
4] + to
.monthly
(YJUSDJPY
[k3]
)[, 4])
Residuals:
Min 1Q Median 3Q Max
-1997.11 -433.52 25.52 484.71 2025.68
Coefficients:
Estimate Std. Error t value
Pr(>|t|)
(Intercept) -9833.6019 476.8960 -20.62 <2e-16 ***
to.monthly
(GSPC
[k3]
)[, 4] 4.6365 0.1847 25.11 <2e-16 ***
to.monthly
(YJUSDJPY
[k3]
)[, 4] 161.7323 5.9325 27.26 <2e-16 ***
---
Signif.
codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 755.9 on 128 degrees of freedom
Multiple R-squared: 0.9661,
Adjusted R-squared: 0.9656
F-statistic: 1826 on 2 and 128 DF, p-value: < 2.2e-16
> result$coefficients
[2
]*last
(GSPC
)[
,4
]+result$coefficients
[3
]*last
(YJUSDJPY
)[
,4
]+result$coefficients
[1]
GSPC
.Close
2017-12-22 20925.53
>
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