Course Info

DSC 425: Time Series Analysis and Forecasting

The course introduces students to statistical models for time series analysis and forecasting. The course topics include: autocorrelated data analysis, Box-Jenkins models (autoregressive, moving average, and autoregressive moving average models), analysis of seasonality, volatility models (GARCH-type, GARCH-M type, etc.), forecasting evaluation and diagnostics checking. The course will emphasize applications to financial data, volatility modeling and risk management. Real examples will be used throughout the course.

CSC 423 or DSC 423 or MAT 456 or consent is a prerequisite for this class.

Winter 2024-2025

Section: 801
Class number: 25074
Meeting time: M 5:45PM - 9:00PM
Location: N/A at Loop Campus
Section: 810
Class number: 25075
Meeting time: -
Location: Online: Async

Spring 2023-2024

Section: 901
Class number: 35334
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00200 at Loop Campus
Section: 930
Class number: 33239
Meeting time: Tu 5:45PM - 9:00PM
Location: Online: Sync-Classroom link

Spring 2022-2023

Section: 901T
Class number: 40376
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00200 at Loop Campus
Section: 930
Class number: 40518
Meeting time: Tu 5:45PM - 9:00PM
Location: Online: Sync-Classroom link

Fall 2022-2023

Section: 701T
Class number: 18557
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00202 at Loop Campus
Section: 710
Class number: 18558
Meeting time: Tu 5:45PM - 9:00PM
Location: Online: Sync-Classroom link

Spring 2021-2022

Section: 901T
Class number: 42336
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00200 at Loop Campus
Section: 930
Class number: 42532
Meeting time: Tu 5:45PM - 9:00PM
Location: Online: Sync-Classroom link

Fall 2021-2022

Section: 701T
Class number: 4142
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00202 at Loop Campus
Section: 710
Class number: 4143
Meeting time: Tu 5:45PM - 9:00PM
Location: Online: Sync-Classroom link
CLOSED

Winter 2020-2021

Section: 801
Class number: 28534
Meeting time: Tu 5:45PM - 9:00PM
Location: Online: Sync
Section: 810
Class number: 28535
Meeting time: -
Location: Online: Async (Sync-Option)

Fall 2020-2021

Section: 701
Class number: 10417
Meeting time: W 5:45PM - 9:00PM
Location: Online: Sync
Section: 710
Class number: 10418
Meeting time: -
Location: Online: Async (Sync-Option)