#Finding seasonality base on Fourier transformation
#Call necessary packages
require(TSA)
require(PortfolioAnalytics)
require(quantmod)
#Get data
start=as.Date("2017-11-17")
end=as.Date("2021-05-15")
getSymbols("^TWII",src="yahoo",from=start,to=end)
twii.price=TWII[,6]
twii.return=CalculateReturns(twii.price,method='log')
x=na.omit(twii.return)

p=periodogram(x)
dd = data.frame(freq=p$freq, spec=p$spec)
order = dd[order(-dd$spec),]
top2 = head(order, 2)
# display the 2 highest "power" frequencies
top2