Problem 2Download different treasury yields (shorter and langer than 5 year term) and analyze their...

Question

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 (GS1),choose an appropriate MA(q) model. Construct 1 to 5 step ahead forecast using 1953 M XXXXXXXXXXM11 as estimation sample (training), and 2007 M XXXXXXXXXXM4 as prediction sample (test), and include a 95% confidence interval

Aditya Kumar · Accepted Answer

R Notebook
R Notebook
Loading Packages
require(lubridate)
## Loading required package: lubridate
## 
## Attaching package: 'lubridate'
## The following object is masked from 'package:base':
## 
##     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
## 
## Attaching package: 'FitAR'
## The following object is masked from 'package:forecast':
## 
##     BoxCox
Importing Data
GS1 = read.csv("GS1.csv", header = TRUE)
GS10 = read.csv("GS10.csv",

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...

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