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---
name: tseries
description: R tseries package for time series analysis. Use for time series tests and GARCH models.
---
# tseries
Time series analysis and computational finance.
## Stationarity Tests
```r
library(tseries)
# Augmented Dickey-Fuller test
adf.test(ts_data)
# H0: non-stationary (unit root)
# p < 0.05 -> reject H0 -> stationary
# KPSS test
kpss.test(ts_data)
# H0: stationary
# p < 0.05 -> reject H0 -> non-stationary
# Phillips-Perron test
pp.test(ts_data)
```
## GARCH Models
```r
# Fit GARCH(1,1)
fit <- garch(returns, order = c(1, 1))
summary(fit)
# Residuals
residuals(fit)
# Fitted values
fitted(fit)
```
## ARMA
```r
# Fit ARMA
fit <- arma(ts_data, order = c(2, 1))
summary(fit)
```
## Jarque-Bera Test
```r
# Test for normality
jarque.bera.test(returns)
# H0: data is normally distributed
```
## Runs Test
```r
# Test for randomness
runs.test(as.factor(sign(returns)))
```
## BDS Test
```r
# Test for independence
bds.test(returns)
```
## Portfolio Optimization
```r
# Efficient frontier
portfolio.optim(returns_matrix)
# With constraints
portfolio.optim(returns_matrix,
pm = target_return,
shorts = FALSE)
```
## Cointegration
```r
# Engle-Granger test
po.test(cbind(x, y))
# Phillips-Ouliaris test
po.test(cbind(x, y), type = "Pu")
```
## Autocorrelation
```r
# Ljung-Box test
Box.test(ts_data, type = "Ljung-Box", lag = 10)
# Box-Pierce test
Box.test(ts_data, type = "Box-Pierce")
```
## Data
```r
# Get financial data
get.hist.quote(instrument = "AAPL",
start = "2020-01-01",
end = "2023-12-31",
quote = "Close")
```
