QuantLet · RelativelyLightBulb · Mar 3, 2022 · Mar 3, 2022
diff --git a/DEDA_WS21_22_Cointegration_Crypto/DEDA_Tables.pdf b/DEDA_WS21_22_Cointegration_Crypto/DEDA_Tables.pdf
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/BTC_price_impulse.png b/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/BTC_price_impulse.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/BTC_retrun_impulse.png b/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/BTC_retrun_impulse.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/DASH_price_impulse.png b/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/DASH_price_impulse.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/DASH_retrun_impulse.png b/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/DASH_retrun_impulse.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/ETH_price_impulse.png b/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/ETH_price_impulse.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/ETH_retrun_impulse.png b/DEDA_WS21_22_Cointegration_Crypto/Impulse_response/ETH_retrun_impulse.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/README.md b/DEDA_WS21_22_Cointegration_Crypto/README.md
@@ -1,2 +1,10 @@
 # DEDA_class_WS21
 This repository is for Digital Economy and Data Analytics class of WS 2021/22
+
+The folder data contains all the data sets and the code processing the data sets.
+The folder tests contains all the code for processing ADF test, VAR, Johansen test and VECM and the impulse
+response.
+The folder time series plots contains the plots of the original data, the logged data and the data after 
+first difference.
+The folder impulse response contains the plots of the impulse response result.
+
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Tests/EG test.py b/DEDA_WS21_22_Cointegration_Crypto/Tests/EG test.py
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Tests/VAR.py b/DEDA_WS21_22_Cointegration_Crypto/Tests/VAR.py
diff --git a/DEDA_WS21_22_Cointegration_Crypto/Tests/VECM.py b/DEDA_WS21_22_Cointegration_Crypto/Tests/VECM.py
@@ -3,7 +3,6 @@
 from statsmodels.tsa.api import VAR
 import matplotlib.pyplot as plt
 from statsmodels.tsa.vector_ar import vecm
-from matplotlib.backends.backend_pdf import PdfPages
 # read the original data for the VECM
 indicators_death_infection = pd.read_csv('../Data/final_merged_data.csv', index_col = 0)
 indicators_death_infection.index = pd.to_datetime(indicators_death_infection.index)
@@ -25,36 +24,22 @@
 model6 = indicators_death_infection.loc[:, xy6]
 
 # run the VECM with the rank chosen by Johansen test and show the impulse response
-def save_multi_image(filename):
-   pp = PdfPages(filename)
-   fig_nums = plt.get_fignums()
-   figs = [plt.figure(n) for n in fig_nums]
-   for fig in figs:
-      fig.savefig(pp, format='pdf')
-   pp.close()
-
-save_multi_image('../impulse_response_plot')
 
 def vecm_impulse(model, rank):
     mod = vecm.VECM(model, k_ar_diff = 4, coint_rank = rank, deterministic = 'ci')
     res = mod.fit()
     ir = res.irf(periods = 30)
     ir.plot(plot_stderr=False, figsize=(40, 40))
-    save_multi_image('../impulse_response_plot')
 
 vecm_impulse(model1, 3)
+plt.savefig('BTC_price_impulse')
 vecm_impulse(model2, 3)
+plt.savefig('DASH_price_impulse')
 vecm_impulse(model3, 4)
+plt.savefig('ETH_price_impulse')
 vecm_impulse(model4, 4)
+plt.savefig('BTC_retrun_impulse')
 vecm_impulse(model5, 4)
+plt.savefig('DASH_retrun_impulse')
 vecm_impulse(model6, 3)
-
-def save_multi_image(filename):
-   pp = PdfPages(filename)
-   fig_nums = plt.get_fignums()
-   figs = [plt.figure(n) for n in fig_nums]
-   for fig in figs:
-      fig.savefig(pp, format='pdf')
-   pp.close()
-
-save_multi_image('../impulse_response_plot')
+plt.savefig('ETH_retrun_impulse')
diff --git a/DEDA_WS21_22_Cointegration_Crypto/impulse_response_plot b/DEDA_WS21_22_Cointegration_Crypto/impulse_response_plot
diff --git a/DEDA_WS21_22_Cointegration_Crypto/impulse_response_plots.pdf b/DEDA_WS21_22_Cointegration_Crypto/impulse_response_plots.pdf
diff --git a/...1_22_Cointegration_Crypto/time_series_plot/BTC_price_log_log&fd_time series.png b/...1_22_Cointegration_Crypto/time_series_plot/BTC_price_log_log&fd_time series.png
diff --git a/..._22_Cointegration_Crypto/time_series_plot/DASH_price_log_log&fd_time series.png b/..._22_Cointegration_Crypto/time_series_plot/DASH_price_log_log&fd_time series.png
diff --git a/...1_22_Cointegration_Crypto/time_series_plot/ETH_price_log_log&fd_time series.png b/...1_22_Cointegration_Crypto/time_series_plot/ETH_price_log_log&fd_time series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/covid_death_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/covid_death_time_series.png
diff --git a/..._WS21_22_Cointegration_Crypto/time_series_plot/covide_infection_time_series.png b/..._WS21_22_Cointegration_Crypto/time_series_plot/covide_infection_time_series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/crypto_price_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/crypto_price_time_series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/crypto_return_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/crypto_return_time_series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/macro_S&P_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/macro_S&P_time_series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/macro_oil_price_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/macro_oil_price_time_series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/macro_treasury_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/macro_treasury_time_series.png
diff --git a/..._WS21_22_Cointegration_Crypto/time_series_plot/marco_gold price_time_series.png b/..._WS21_22_Cointegration_Crypto/time_series_plot/marco_gold price_time_series.png
diff --git a/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/media_index_time_series.png b/DEDA_WS21_22_Cointegration_Crypto/time_series_plot/media_index_time_series.png
diff --git a/...1_22_Cointegration_Crypto/multi_plots.pdf → ...n_Crypto/time_series_plot/multi_plots.pdf b/...1_22_Cointegration_Crypto/multi_plots.pdf → ...n_Crypto/time_series_plot/multi_plots.pdf