Comment coder deux exercice selon J

#1
BMW <- GetData("BMW.DE")
TEF <- GetData("TEF.MC")
LOR <- GetData("OR.PA")
UNA <- GetData("UNA.AS")
UCG <- GetData("UCG.MI")
E50 <- GetData("^STOXX50E")

#2
install.packages("zoo")
library('zoo')


FF <- read.csv(file="C:\\Users\\Jakelyn\\Desktop\\M2\\Méthode num\\FF.csv", header=TRUE, sep=",",dec=".")
head(FF)

MKT <- matrix(FF[,2])
SMB <- matrix(FF[,3])
HML <- matrix(FF[,4])

######si na.locf l'autre ne marche pas
BMW <- matrix(head(BMW,101))
TEF <- matrix(head(TEF,101))
LOR <- matrix(head(LOR,101))
UNA <- matrix(head(UNA,101))
UCG <- matrix(head(UCG,101))
E50 <- matrix(head(E50,101))

MKT <- matrix(head(MKT,100))
SMB <- matrix(head(SMB,100))
HML <- matrix(head(HML,100))

rBMW <- matrix(diff(log(BMW)))
rTEF <- matrix(diff(log(TEF)))
rLOR <- matrix(diff(log(LOR)))
rUNA <- matrix(diff(log(UNA)))
rUCG <- matrix(diff(log(UCG)))
rE50 <- matrix(diff(log(E50)))

rF <- matrix(0.01,100,1)
##########


#nam
STOCKS <- cbind(BMW,TEF,LOR,UNA,UCG,E50)
dim(STOCKS)
class(STOCKS)
colnames(STOCKS)<-c("bmw","telefonica","oreal","unilever","unicredit")
print(paste("Nombre de NA:",sum(apply(STOCKS,2,is.na)),"NA"))


stocks<-na.locf(stocks)
head(stocks)
Stocks <- matrix(cbind(prBMW,prTEF,prLOR,prUNA,prUCG,prE50),dim(rF)[1],6)
head(Stocks)
## na.locf(STOCKS)
## na.locf(merge(STOCKS,c("2008-05-01","2008-08-01","2010-01-01")))


#3
prBMW <- rBMW - rF
prTEF <- rTEF - rF
prLOR <- rLOR - rF
prUNA <- rUNA - rF
prUCG <- rUCG - rF
prE50 <- rE50 - rF



prMKT <- MKT - rF
prMKT <- MKT/100

CAPM_BMW <- lm(Stocks[,1] ~ Stocks[,6])
CAPM_TEF <- lm(Stocks[,2] ~ Stocks[,6])
CAPM_LOR <- lm(Stocks[,3] ~ Stocks[,6])
CAPM_UNA <- lm(Stocks[,4] ~ Stocks[,6])
CAPM_UCG <- lm(Stocks[,5] ~ Stocks[,6])

#4

prMKT <- MKT/100
prSMB <- SMB/100
prHML <- HML/100


FamF_BMW <- lm(Stocks[,1] ~ prMKT + prSMB + prHML)
FamF_TEF <- lm(Stocks[,2] ~ prMKT + prSMB + prHML)
FamF_LOR <- lm(Stocks[,3] ~ prMKT + prSMB + prHML)
FamF_UNA <- lm(Stocks[,4] ~ prMKT + prSMB + prHML)
FamF_UCG <- lm(Stocks[,5] ~ prMKT + prSMB + prHML)


$coefficients
summary