Forecast Dashboard
USD
Visualization
plot_visualization("USD")
plot_log_return("USD")
ARIMA
plot_arima_forecast("USD")
Prophet
plot_recent_prophet(results$USD$prophet_full, results$USD$raw)
XGBoost
plot_xgboost_forecast("USD")
KRW
Visualization
plot_visualization("KRW")
plot_log_return("KRW")
ARIMA
plot_arima_forecast("KRW")
Prophet
plot_recent_prophet(results$KRW$prophet_full, results$KRW$raw)
XGBoost
plot_xgboost_forecast("KRW")
GBP
Visualization
plot_visualization("GBP")
plot_log_return("GBP")
ARIMA
plot_arima_forecast("GBP")
Prophet
plot_recent_prophet(results$GBP$prophet_full, results$GBP$raw)
XGBoost
plot_xgboost_forecast("GBP")
JPY
Visualization
plot_visualization("JPY")
plot_log_return("JPY")
ARIMA
plot_arima_forecast("JPY")
Prophet
plot_recent_prophet(results$JPY$prophet_full, results$JPY$raw)
XGBoost
plot_xgboost_forecast("JPY")
AUD
Visualization
plot_visualization("AUD")
plot_log_return("AUD")
ARIMA
plot_arima_forecast("AUD")
Prophet
plot_recent_prophet(results$AUD$prophet_full, results$AUD$raw)
XGBoost
plot_xgboost_forecast("AUD")
CAD
Visualization
plot_visualization("CAD")
plot_log_return("CAD")
ARIMA
plot_arima_forecast("CAD")
Prophet
plot_recent_prophet(results$CAD$prophet_full, results$CAD$raw)
XGBoost
plot_xgboost_forecast("CAD")
CHF
Visualization
plot_visualization("CHF")
plot_log_return("CHF")
ARIMA
plot_arima_forecast("CHF")
Prophet
plot_recent_prophet(results$CHF$prophet_full, results$CHF$raw)
XGBoost
plot_xgboost_forecast("CHF")
Granger Causality Analysis
# Run Granger causality analysis after computing log returns
granger_results <- run_granger_analysis(log_returns, common_currencies, max_lag = 3)
# Display only statistically significant results
granger_results %>% filter(p_value < 0.05)
## # A tibble: 14 × 3
## from to p_value
## <fct> <fct> <dbl>
## 1 KRW CAD 0.0000300
## 2 JPY GBP 0.000349
## 3 USD KRW 0.00148
## 4 USD GBP 0.00180
## 5 CAD KRW 0.00191
## 6 KRW AUD 0.00283
## 7 GBP KRW 0.00368
## 8 KRW GBP 0.00535
## 9 AUD KRW 0.0132
## 10 GBP JPY 0.0132
## 11 AUD CAD 0.0222
## 12 CAD AUD 0.0290
## 13 JPY KRW 0.0303
## 14 AUD JPY 0.0490
# Plot p-value heatmap
plot_granger_heatmap(granger_results, common_currencies)
plot_granger_network(granger_results)
influence_summary <- summarize_granger_influence(granger_results)
print(influence_summary)
## # A tibble: 6 × 3
## Currency Influences_Others Influenced_By_Others
## <fct> <int> <int>
## 1 KRW 3 5
## 2 AUD 3 2
## 3 USD 2 0
## 4 GBP 2 3
## 5 JPY 2 2
## 6 CAD 2 2