Dear all,
i´d like to rbind the prediction output of an arima model to my original ts series object in a melt type of data format. But I get the following error message that I dont understand:
Error in [<-.ts
(*tmp*
, ri, value = c(12.2567768232753, -0.0141881223732589, :
only replacement of elements is allowed
Here´s some reproducible code, with some example data from yahoo finance:
# custom function to extract years from ts object
tsyears = function (ts){
years = as.data.frame(trunc(time(ts)))
return(years)
}
library(quantmod)
sp500 = new.env()
### get some fresh data directly from yahoo finance
getSymbols("^GSPC", env = sp500, src ="yahoo", from = as.Date("1960-01-01"),to =as.Date("2010-09-29") )
GSPC = sp500$GSPC
check what we got (last 6 entries)
tail(GSPC)
#calculate annual returns from all the adjusted closes
annual=annualReturn(GSPC)
model = arima(annual,c(1,1,0))
pd = predict(model,10)
q = ts(pd$pred,start=2010,end=2020)
w = as.ts(annual,start=1960,end=2009)
e=data.frame(tsyears(q),unclass(q),"prediction")
names(e) = c("years","return","series")
w = data.frame(tsyears(w),unclass(w),"historical")
names(w) = c("years","return","series")
rbind(w,e)
What I would like to have is:
year return series
2008 5 original
2009 -3 original
2010 6 prediction
2011 4 prediction
and so forth. From then on I would melt the dataset and use it with ggplot assigning different colors to the series value.
Thx in advance for any suggestions !