Time Series Analysis and Forecasting (ECOM90004)

Graduate courseworkPoints: 12.5Dual-Delivery (Parkville)

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Overview

Availability
Semester 2 - Dual-Delivery
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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: 31 January 2024

Eligibility and requirements

Prerequisites

ECOM9002 Econometrics or ECOM90001 Basic Econometrics

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

Or Admission into MC-COMACTS Master of Commerce (Actuarial Science)

 

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 (Dual-Delivery - 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: 31 January 2024

Assessment

DescriptionTimingPercentage

Assignment

  • 850 words
Week 310%

Assignment

  • 850 words
Week 610%

Assignment

  • 850 words
Week 910%

Assignment

  • 850 words
Week 1210%

End-of-semester examination.

  • 2 hours
Hurdle requirement: Successful completion of this subject requires a pass (50%) in the final exam.		During the examination period60%

Last updated: 31 January 2024

Dates & times

  • Semester 2
    Principal coordinatorVance Martin
    Mode of deliveryDual-Delivery (Parkville)
    Contact hoursTwo 1-hour lectures and a 1-hour tutorial/practice class per week.
    Total time commitment170 hours
    Teaching period25 July 2022 to 23 October 2022
    Last self-enrol date 5 August 2022
    Census date31 August 2022
    Last date to withdraw without fail23 September 2022
    Assessment period ends18 November 2022

    Semester 2 contact information

    vance@unimelb.edu.au

     

Time commitment details

Estimated total time commitment of 170 hours per semester

Last updated: 31 January 2024

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 Commerce (Accounting)
    CourseMaster of Commerce (Actuarial Science)
    CourseMaster of Applied Econometrics
  • 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

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 31 January 2024