This course provides an introduction to financial time series analysis and forecasting based on EViews, the most powerful and user-friendly time series econometric software.
Taking a “learning-by-doing” approach, we aim to present the most relevant time series models by employing plenty of financial and macroeconomic data examples alongside a constant stream of challenging exercises, specifically focusing on forecasting methodologies in macroeconometrics and financial econometrics.
Participants will leave with the know-how on a wide range of models, such as ARMA, ADL, GARCH, and will have the ability to identify which one to use for any specific modelling and forecasting purpose.
This course is intentionally flexible - the agenda emerges dynamically and depends on the group’s prior background and knowledge of EViews. By the end of the course, all participants will feel comfortable undertaking the following tasks:
- Time series data analysis (mean reversion, memory, stationarity, trends and unit roots)
- ARMA and ADL models (specification, estimation, diagnostic checking)
- GARCH models (specification, estimation, diagnostic checking)
- Advanced GARCH modelling ( EGARCH, TARCH, GARCH-X)
- Forecasting with ARMA, ADL and GARCH models
- Assessing the forecasting performance of univariate time series models
- Long memory time series models (ARFIMA)
Principal text for pre-course reading:
- Basic knowledge of hypothesis testing is needed.
- Basic knowledge of EViews and regression analysis is helpful.
Adkins L.C , Hill R.C Using EViews for principle of Econometrics
(Appendix C and Chapters 2 and 3 )
Principal text for post-course reading:
Adkins L.C , Hill R.C Using EViews for principle of Econometrics (Chapters 9, 12, 13,14 )
Terms & Conditions
- Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
- Additional discounts are available for multiple registrations.
- Cost includes course materials that will be posted to you prior to the start of the course.
- Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course.
- Payment of course fees required prior to the course start date.
- Registration closes 1-day prior to the start of the course.