• 使用来自 FRED 的每日日元/美元汇率 DataFrame df
• 将索引转换为 datetime

# 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