Time Series Analysis and Forecasting (ECOM90004)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Availability
Semester 2
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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, ARCH models. The computer software used is EVIEWS.

Intended learning outcomes

On successful completion of this subject students should be able to:



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

Generic skills

On successful completion of this subject, students should have improved the following generic skills:

  • Evaluation of ideas, views and evidence
  • Synthesis of ideas, views and evidence
  • Strategic thinking
  • Critical thinking
  • Accessing economic and other information
  • Summary and interpretation of information
  • Application of Windows software
  • Statistical reasoning
  • Problem solving skills
  • Written communication

Last updated: 3 November 2022

Eligibility and requirements

Prerequisites

ECOM9002 Econometrics or ECOM90001 Basic Econometrics

Code Name Teaching period Credit Points
ECOM90002 Econometrics
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5
ECOM90001 Basic Econometrics
Semester 1 (On Campus - Parkville)
 12.5

Corequisites

None

Non-allowed subjects

ECOM30004 Time Series Analysis and Forecasting

Code Name Teaching period Credit Points
ECOM30004 Time Series Analysis and Forecasting
Semester 2 (On Campus - Parkville)
 12.5

Recommended background knowledge

Please refer to Prerequisites and Corequisites.

Inherent requirements (core participation requirements)

The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.

Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home

Last updated: 3 November 2022

Assessment

Additional details

  • Two hour end-of-semester examination, during the examination period (60%);
  • Four assignments of 1000 words each, due in weeks 3, 6, 9 and 12 (40% (10% each))

Note: Successful completion of this subject requires a pass (50%) in the final exam.

Last updated: 3 November 2022

Dates & times

  • Semester 2
    Principal coordinatorBarry Rafferty
    Mode of deliveryOn Campus (Parkville)
    Contact hoursTwo 1-hour lectures and a 1-hour tutorial/practice class per week.
    Total time commitment170 hours
    Teaching period23 July 2018 to 21 October 2018
    Last self-enrol date 3 August 2018
    Census date31 August 2018
    Last date to withdraw without fail21 September 2018
    Assessment period ends16 November 2018

    Semester 2 contact information

    barry.rafferty@unimelb.edu.au

Time commitment details

Estimated total time commitment of 170 hours per semester

Last updated: 3 November 2022

Further information

  • Texts

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

  • Subject notes

    Students may not gain credit for both ECOM90004 Time Series Analysis and Forecasting and ECOM30004 Time Series Analysis and Forecasting.

  • Related Handbook entries

    This subject contributes to the following:

    TypeName
    CourseMaster of Applied Econometrics
    CourseMaster of Commerce (Actuarial Science)
    CourseMaster of Commerce (Accounting)
    CourseDoctor of Philosophy - Business and Economics
  • Available through the Community Access Program

    About the Community Access Program (CAP)

    This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.

    Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants

    Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.

Last updated: 3 November 2022