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Time Series Analysis and Forecasting (ECOM30004)
Undergraduate level 3Points: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable (login required)(opens in new window)
Contact information
Semester 2
Laszlo Konya: l.konya@unimelb.edu.au
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.
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: 1 December 2023