#clear
rm(list=ls())
#import package
library(readxl)
library(fBasics)
library(tseries)
#import data
dir<-dir("C:\\Users\\User\\Desktop\\data")
L=length(dir)
#allocate memory
return=matrix(0,nrow=L,ncol=7)
colnames(return)=c("name","n","mean","sd","skewness","kurtosis","JBstatistic")
for(i in 1:L)
{
d=read_excel(paste("C:\\Users\\User\\Desktop\\data\\",dir[i],sep=""))
price_close_old=d[["close"]]
#missing value
price_close=as.numeric(na.omit(price_close_old))
#caculate return
return_close=diff(log(price_close))
tail(return_close,-1)
#caculate parameter
return[i,1]=dir[i]
return[i,2]=length(return_close)
return[i,3]=mean(return_close)
return[i,4]=sd(return_close)
return[i,5]=skewness(return_close)
return[i,6]=kurtosis(return_close)
return[i,7]=jarque.bera.test(return_close)$p.value
}
#write
file=("C:\\Users\\User\\Desktop\\summary.csv")
res <- write.csv(return, file)
