Time Series Analysis and Forecasting

Normally topics will include current techniques used in forecasting in finance, accounting and economics such as regression models, Box-Jenkins, ARIMA models, vector autoregression, causality analysis, cointegration and forecast evaluation, and ARCH models.

• 1Apply the Box-Jenkins methodology for identifying stationary and non-stationary univariate forecasting models;
• 2Apply VAR/VECM models to analyse relationships between economic and financial time series; and
• 3Apply ARCH models to analyse and forecast the volatility of financial time series.