Hi,
I want to implement a bootstrap method for time series.
I am taking the adj close values from yahoo for NFLX and now I need to
bootstrap these values using ARIMA model.
here is my code so far:
rm(list = ls())
library(boot)
library(tseries)
library(TTR)
library(quantmod)
library(scales)
library(forecast)
library(zoo)
library(TSA)
security<-"NFLX"
startDate<-"2012-06-01"
endDate<-"2016-10-31"
qte_list<-c("AdjClose")
data=get.hist.quote(instrument = security, startDate, endDate, quote =
qte_list, provider = "yahoo" )
logret<-diff(log(data[,1]))
fit11<-auto.arima(logret, max.order=10)
When i use auto.arima, I get an order of (0,0,0) with non-zero mean. After
this, I tried to use tsboot function but it is not yielding any answers.
Any and all help is appreciated.
Thank you!
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