Time Series Analysis and Forecasting (ECOM30004)
Undergraduate level 3Points: 12.5On Campus (Parkville)
For information about the University’s phased return to campus and in-person activity in Winter and Semester 2, please refer to the on-campus subjects page.
Please refer to the LMS for up-to-date subject information, including assessment and participation requirements, for subjects being offered in 2020.
Overview
| Availability | Semester 2 |
|---|---|
| Fees | Look up fees |
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
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: 20 March 2025
Eligibility and requirements
Prerequisites
One of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ECOM20001 | Econometrics 1 |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| ECOM30001 | Basic Econometrics | Semester 1 (On Campus - Parkville) |
12.5 |
| ECOM30002 | Econometrics 2 |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
OR
All of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| MAST20004 | Probability |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| MAST20005 | Statistics |
Semester 2 (On Campus - Parkville)
Summer Term (On Campus - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ECOM90004 | 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: 20 March 2025
Assessment
Due to the impact of COVID-19, assessment may differ from that published in the Handbook. Students are reminded to check the subject assessment requirements published in the subject outline on the LMS
| Description | Timing | Percentage |
|---|---|---|
Assignment 1
| Week 3 | 5% |
Mid-Semester Test
| Week 5 | 10% |
Assignment 2
| Week 7 | 5% |
Group Project (maximum of 6 per group)
| Week 9 | 20% |
End of Semester Examination
| During the examination period | 60% |
Last updated: 20 March 2025
Dates & times
- Semester 2
Principal coordinator Vance Martin Mode of delivery On Campus (Parkville) Contact hours Two 1-hour lectures and a 1-hour tutorial/practice class per week Total time commitment 170 hours Teaching period 3 August 2020 to 1 November 2020 Last self-enrol date 14 August 2020 Census date 21 September 2020 Last date to withdraw without fail 16 October 2020 Assessment period ends 27 November 2020 Semester 2 contact information
Time commitment details
An estimated total time commitment of at least 170 hours.
Last updated: 20 March 2025
Further information
- Texts
- Related Handbook entries
- Breadth options
This subject is available as breadth in the following courses:
- Bachelor of Arts
- Bachelor of Biomedicine
- Bachelor of Design
- Bachelor of Environments
- Bachelor of Fine Arts (Acting)
- Bachelor of Fine Arts (Animation)
- Bachelor of Fine Arts (Dance)
- Bachelor of Fine Arts (Film and Television)
- Bachelor of Fine Arts (Music Theatre)
- Bachelor of Fine Arts (Screenwriting)
- Bachelor of Fine Arts (Theatre)
- Bachelor of Fine Arts (Visual Art)
- Bachelor of Music
- Bachelor of Science
- 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.
- Available to Study Abroad and/or Study Exchange Students
Last updated: 20 March 2025