Time Series

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Economics

Course type:

Compulsory course

When:

3 year, 3 module

Course Syllabus

Abstract

The course is devoted to methods and models of time series analysis and forecasting. The specific results of this discipline are the familiarization of methods for adjusting data for inflation and seasonality, methods for reducing a time series to a stationary one, building AR, MA and ARMA models of a time series, building volatility models, building nonlinear models for analyzing one-dimensional time series, building VAR models, forecasting using these models, analyzing time series cointegration. The study of this discipline is based on the following disciplines: Probability Theory, Statistics, Econometrics. The main provisions of the discipline should be used in the future when studying the discipline of Risk Management, Financial Risk management, Quantitative methods in finance, as well as in the preparation of term paper and bachelor's thesis.