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