# Reading the CAC data
cacdata <- read.table("cac.csv",header=TRUE,sep=",")
cac<-rev(cacdata$Close) 
datecac<-as.character(rev(cacdata$Date))
n<-length(cac)
firstdatecac<-datecac[1]; lastdatecac<-datecac[n];
# Reading the SP500 data
sp500data <- read.table("sp500.csv",header=TRUE,sep=",")
sp500<-rev(sp500data$Close) 
datesp500<-as.character(rev(sp500data$Date))
#data.entry(datesp500,sp500)
ind.firstdatesp<-which(datesp500==firstdatecac) 
ind.lastdatesp<-which(datesp500==lastdatecac)
sp<-sp500[ind.firstdatesp:ind.lastdatesp] 
datesp<-datesp500[ind.firstdatesp:ind.lastdatesp] 
nsp<-length(sp)
rendcac<-rep(NA,n); rendcac[2:n]<-100*log(cac[2:n]/cac[1:(n-1)])
rendsp<-rep(NA,nsp); rendsp[2:nsp]<-100*log(sp[2:nsp]/sp[1:(nsp-1)])
datesp[1]
datesp[nsp]
# Reading the DAX data
daxdata <- read.table("dax.csv",header=TRUE,sep=",")
dax<-rev(daxdata$Close) 
datedax<-as.character(rev(daxdata$Date))
ndax<-length(dax)
firstdatedax<-datedax[1]; lastdatedax<-datedax[ndax];
renddax<-rep(NA,ndax); renddax[2:ndax]<-100*log(dax[2:ndax]/dax[1:(ndax-1)])
datedax[2]
# Reading FTSE data
ftsedata <- read.table("ftse.csv",header=TRUE,sep=",")
ftse<-rev(ftsedata$Close) 
dateftse<-as.character(rev(ftsedata$Date))
nftse<-length(ftse)
firstdateftse<-dateftse[1]; lastdateftse<-dateftse[nftse];
rendftse<-rep(NA,nftse); rendftse[2:nftse]<-100*log(ftse[2:nftse]/ftse[1:(nftse-1)])
dateftse[2]
#  SP and DAX graphics
nticks=4
lab1<-rep("",nticks+1); lab2<-rep("",nticks+1); at1<-rep(1,nticks+1); at2<-rep(1,nticks+1)

for(i in 1:nticks)at1[i+1]<-as.integer(i*nsp/nticks)
for(i in 1:nticks+1)lab1[i]<-datesp[at1[i]]
for(i in 1:nticks)at1[i+1]<-as.integer(i*ndax/nticks)
for(i in 1:nticks+1)lab2[i]<-datedax[at1[i]]
op <- par(mfrow = c(2, 2)) # 2 x 2 figures par page  
acf(rendsp[2:nsp], main="SP Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
acf(renddax[2:ndax], main="DAX Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
acf(rendsp[2:nsp]^2, main="Squared SP Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
acf(renddax[2:ndax]^2, main="Squared DAX Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
par(op) # 

# graphiques CAC et FTSE
nticks=4
lab1<-rep("",nticks+1); lab2<-rep("",nticks+1); at1<-rep(1,nticks+1); at2<-rep(1,nticks+1)

for(i in 1:nticks)at1[i+1]<-as.integer(i*n/nticks)
for(i in 1:nticks+1)lab1[i]<-datecac[at1[i]]
for(i in 1:nticks)at1[i+1]<-as.integer(i*nftse/nticks)
for(i in 1:nticks+1)lab2[i]<-dateftse[at1[i]]
op <- par(mfrow = c(2, 2)) # 2 x 2 figures par page  
#{plot(ts(ftse[1:nftse]),main="FTSE",xlab="",
#               ylab="Indice",xaxt="n")}
#axis(1,at=at1, lab=lab1, cex.axis=1) 
#{plot(ts(rendftse[2:nftse]),main="FTSE",xlab="",
#               ylab="Rendements",xaxt="n")}
#axis(1,at=at1, lab=lab1, cex.axis=1) 
acf(rendcac[2:n], main="CAC Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
acf(rendftse[2:nftse], main="FTSE Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
acf(rendcac[2:n]^2, main="Squared CAC Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
acf(rendftse[2:nftse]^2, main="Squared FTSE Returns",ylab="Autocorrelations",xlab="",ylim=c(-0.05,0.4))
par(op) # 

# graphiques DAX
nticks=4
lab1<-rep("",nticks+1); at1<-rep(1,nticks+1)
for(i in 1:nticks)at1[i+1]<-as.integer(i*n/nticks)
for(i in 1:nticks+1)lab1[i]<-datedax[at1[i]]
op <- par(mfrow = c(2, 2)) # 2 x 2 figures par page  
{plot(ts(dax[1:ndax]),main="DAX",xlab="",
               ylab="Indice",xaxt="n")}
axis(1,at=at1, lab=lab1, cex.axis=1) 
{plot(ts(renddax[2:ndax]),main="DAX",xlab="",
               ylab="Rendements",xaxt="n")}
axis(1,at=at1, lab=lab1, cex.axis=1) 
acf(renddax[2:ndax], main="Rendements DAX",ylab="Autocorrélations",xlab="",ylim=c(-0.05,0.3))
acf(renddax[2:ndax]^2, main="Carrés du DAX",ylab="Autocorrélations",xlab="",ylim=c(-0.05,0.3))
par(op) # retour aux valeurs par défaut des paramètres graphiques 

# graphiques FTSE
nticks=4
lab1<-rep("",nticks+1); at1<-rep(1,nticks+1)
for(i in 1:nticks)at1[i+1]<-as.integer(i*n/nticks)
for(i in 1:nticks+1)lab1[i]<-dateftse[at1[i]]
op <- par(mfrow = c(2, 2)) # 2 x 2 figures par page  
{plot(ts(ftse[1:nftse]),main="FTSE",xlab="",
               ylab="Indice",xaxt="n")}
axis(1,at=at1, lab=lab1, cex.axis=1) 
{plot(ts(rendftse[2:nftse]),main="FTSE",xlab="",
               ylab="Rendements",xaxt="n")}
axis(1,at=at1, lab=lab1, cex.axis=1) 
acf(rendftse[2:nftse], main="Rendements FTSE",ylab="Autocorrélations",xlab="",ylim=c(-0.05,0.4))
acf(rendftse[2:nftse]^2, main="Carrés du FTSE",ylab="Autocorrélations",xlab="",ylim=c(-0.05,0.4))
par(op) # retour aux valeurs par défaut des paramètres graphiques 

write.table(rendcac[2:n], file="identarmagarch.don",row.names=FALSE,col.names=FALSE)
write.table(rendsp[2:nsp], file="identarmagarch.don",row.names=FALSE,col.names=FALSE)
write.table(renddax[2:ndax], file="identarmagarch.don",row.names=FALSE,col.names=FALSE)
write.table(rendftse[2:nftse], file="identarmagarch.don",row.names=FALSE,col.names=FALSE)