Problem 2Download different treasury yields (shorter and langer than 5 year term) and analyze their autocorrelations. In addition, for the growth rate of the 1 year constant treasury maturity yield...

R Notebook
R Notebook
Loading Packages
require(lubridate)
## Loading required package: lubridate
##
## Attaching package: 'lubridate'
## The following object is masked from 'package:base':
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## date
require(tseries)
## Loading required package: tseries
## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zoo
require(forecast)
## Loading required package: forecast
## Warning: package 'forecast' was built under R version 3.6.3
require(FitAR)
## Loading required package: FitAR
## Warning: package 'FitAR' was built under R version 3.6.3
## Loading required package: lattice
## Loading required package: leaps
## Warning: package 'leaps' was built under R version 3.6.3
## Loading required package: ltsa
## Loading required package: bestglm
## Warning: package 'bestglm' was built under R version 3.6.3
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## Attaching package: 'FitAR'
## The following object is masked from 'package:forecast':
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## BoxCox
Importing Data
GS1 = read.csv("GS1.csv", header = TRUE)
GS10 = read.csv("GS10.csv", header = TRUE)
Converting Imported Data to Time - Series Data
GS1$DATE = as_date(GS1$DATE)
GS10$DATE = as_date(GS10$DATE)
rownames(GS1) = GS1$DATE
GS1$DATE = NULL
rownames(GS10) = GS10$DATE
GS10$DATE = NULL
Checking Auto - Correlations and...