• FRED의 DataFrame df에 일별 $\yen$/$ 환율 데이터 사용
• 인덱스를 datetime으로 변환

# Convert index to datetime
df.index = pd.to_datetime(df.index)

# Downsample from daily to monthly data
df = df.resample(rule='M').last()

# Compute returns from prices
df['Return'] = df['Price'].pct_change()

# Compute autocorrelation
autocorrelation = df['Return'].autocorr()
print("The autocorrelation is: ",autocorrelation)

The autocorrelation is: 0.0567