Download monthly Iron Ore price from this URL.
Dont' forget cut&paste table data into the terminal and format them by the editor
cat <INPUT CSV FILE NAME> |sed 's/,//' |awk '{print $1"-"$2","$3","$4}' > <OUTPUT CSV FILE NAME>
IRON_ORE <- as.xts(as.numeric(read.csv("~/icloud/R/iron_ore_price.csv")[2:240,2]),seq(as.Date("1998-07-01"),as.Date("2018-05-01"),by="months"))
summary(lm(to.monthly(YJUSDJPY)["2008::2017"][,4] ~ to.monthly(VIX)["2008::2017"][,4] + to.monthly(IRON_ORE)["2008::2017"][,4]))
> summary(lm(to.monthly(YJUSDJPY)["2008::2017"][,4] ~ to.monthly(VIX)["2008::2017"][,4] + to.monthly(IRON_ORE)["2008::2017"][,4]))
Call:
lm(formula = to.monthly(YJUSDJPY)["2008::2017"][, 4] ~ to.monthly(VIX)["2008::2017"][, 4] + to.monthly(IRON_ORE)["2008::2017"][, 4])
Residuals:
Min 1Q Median 3Q Max
-32.025 -9.121 0.750 7.764 25.368
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 98.2969 3.0042 32.720 < 2e-16 ***
to.monthly(VIX)["2008::2017"][, 4] -0.5002 0.1147 -4.361 2.80e-05 ***
to.monthly(IRON_ORE)["2008::2017"][, 4] 0.1470 0.0238 6.179 9.69e-09 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 11.57 on 117 degrees of freedom
Multiple R-squared: 0.316, Adjusted R-squared: 0.3043
F-statistic: 27.02 on 2 and 117 DF, p-value: 2.249e-10
plot(merge(to.monthly(YJUSDJPY["2008::2017"])[,4],predict(lm(to.monthly(YJUSDJPY)["2008::2017"][,4] ~ to.monthly(VIX)["2008::2017"][,4] + to.monthly(IRON_ORE)["2008::2017"][,4]))))
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