Financial Forecasting (1 º Sem 2019/2020)

FI (Finance)

Linhas Programáticas

Introduction to time series: trends, cycles, seasonality
Forecasting: error and horizon, stationarity, transformations
Autocorrelation and partial autocorrelation. Univariate and multivariate data. Forecast horizon. Reference to loss functions
Exponential smoothing
WN and MA processes
AR processes
Seasonality and Seasonal ARMA models
Recap and examples
ARMA model selection
ARMA forecasting, brief reference to error criteria and measures
Deterministic and stochastic trends ? unit roots
Forecasting with ARIMA models
Volatility
ARCH and GARCH models