Time Series Analysis and Forecasting

Subject 316-638 (2009)

Note: This is an archived Handbook entry from 2009. Search for this in the current handbook

Credit Points: 12.50
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2009:

Semester 2, - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable


Timetable can be viewed here. For information about these dates, click here.
Time Commitment: Contact Hours: Three hours of classes per week plus three hours of seminars during the semester (Semester 2).
Total Time Commitment: Not available
Prerequisites: 316-636 Econometrics or 316-635 Basic Econometrics.
Corequisites: None
Recommended Background Knowledge: None
Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability

Coordinator

Assoc Prof K Shields
Subject Overview: 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.
Objectives: 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.
Assessment: A 2-hour end-of-semester examination (60%); and empirical exercises totalling not more than 6000 words (40%).
Prescribed Texts: None
Recommended Texts: W Enders, Applied Econometric Time Series, 2nd Edition,Wiley, 2003.
Breadth Options:

This subject is not available as a breadth subject.
Fees Information: Subject EFTSL, Level, Discipline & Census Date
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
Notes: Students may not gain credit for both 316-638 Time Series Analysis and Forecasting and 316-350 Time Series Analysis and Forecasting.
Related Course(s): Master of Commerce - Finance

Download PDF version.