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.

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)

Winter 2019-2020

Section: 801
Class number: 22922
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00218 at Loop Campus
Section: 810
Class number: 22923
Meeting time: -
Location: Remote

Fall 2019-2020

Section: 701
Class number: 12986
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00218 at Loop Campus
Section: 710
Class number: 12987
Meeting time: -
Location: Remote

Winter 2018-2019

Section: 801
Class number: 26545
Meeting time: Tu 5:45PM - 9:00PM
Location: LEWIS 01216 at Loop Campus
Section: 810
Class number: 26546
Meeting time: -
Location: Remote

Fall 2018-2019

Section: 701
Class number: 15755
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00218 at Loop Campus
Section: 710
Class number: 15756
Meeting time: -
Location: Remote

Winter 2017-2018

Section: 801
Class number: 20567
Meeting time: Tu 5:45PM - 9:00PM
Location: LEWIS 01216 at Loop Campus
CLOSED
Section: 810
Class number: 25508
Meeting time: -
Location: Remote

Fall 2017-2018

Section: 701
Class number: 12594
Meeting time: Tu 5:45PM - 9:00PM
Location: CDM 00218 at Loop Campus
Section: 710
Class number: 12595
Meeting time: -
Location: Remote