Financial Time Series and Forecasting (QBUS6830)
UNIT OF STUDY
Time series and statistical modelling is a fundamental component of the theory and practice of modern financial asset pricing as well as financial risk measurement and management. Further, forecasting is a required component of financial and investment decision making. This unit provides an introduction to the time series models used for the analysis of data arising in financial markets. It then considers methods for forecasting, testing and sensitivity analyses, in the context of these models. Topics include: the properties of financial return data; the Capital Asset Pricing Model (CAPM); financial return factor models, with known and unknown factors, in panel data settings; modelling and forecasting conditional volatility, via ARCH and GARCH; forecasting market risk measures such as Value at Risk. Emphasis is placed on applications involving the analysis of many real market datasets. Students are encouraged to undertake hands-on analysis using an appropriate computing package.
Our courses that offer this unit of study
Further unit of study information
1 x 2hr lecture and 1 x 1hr tutorial
Mid-semester exam (20%), group assignment (40%), and final exam (40%)
Faculty/department permission required?
Unit of study rules
Prerequisites and assumed knowledge
ECMT5001 or QBUS5001
Basic knowledge of quantitative methods including statistics, basic probability theory, and introductory regression analysis.
Study this unit outside a degree
If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student.
If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.