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Regular version of the site
Bachelor 2024/2025

Time Series

Area of studies: Economics
When: 3 year, 3 module
Mode of studies: offline
Open to: students of one campus
Language: English
ECTS credits: 3

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.