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Unit of study_

QBUS6830: Financial Time Series and Forecasting

2025 unit information

Time series and statistical modelling is a fundamental component of the theory and practice of modern financial asset pricing as well as financial risk measurement and management. Further, forecasting is a required component of financial and investment decision making. This unit provides an introduction to the time series models used for the analysis of data arising in financial markets. It then considers methods for forecasting, testing and sensitivity analyses, in the context of these models. Topics include: the properties of financial return data; the Capital Asset Pricing Model (CAPM); financial return factor models, with known and unknown factors, in panel data settings; modelling and forecasting conditional volatility, via ARCH and GARCH; forecasting market risk measures such as Value at Risk. Emphasis is placed on applications involving the analysis of many real market datasets. Students are encouraged to undertake hands-on analysis using an appropriate computing package.

Unit details and rules

Managing faculty or University school:

Business (Business School)

Study level Postgraduate
Academic unit Business Analytics
Credit points 6
Prerequisites:
? 
ECMT5001 or QBUS5001
Corequisites:
? 
None
Prohibitions:
? 
None
Assumed knowledge:
? 
Basic knowledge of quantitative methods including statistics, basic probability theory, and introductory regression analysis

At the completion of this unit, you should be able to:

  • LO1. describe and summarise, with appropriate statistics, the empirical properties of financial prices and returns data
  • LO2. design and estimate of a range of quantitative, statistical models used by financial analysts and forecasters
  • LO3. appraise the suitability of both models and methods of forecasting financial data, financial quantities, and outcomes
  • LO4. develop complex programs in Python software for estimation of financial time series models and forecasting.

Unit availability

This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.

The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.

Session MoA ?  Location Outline ? 
Semester 2 2024
Normal day Camperdown/Darlington, Sydney
Session MoA ?  Location Outline ? 
Semester 2 2025
Normal day Camperdown/Darlington, Sydney
Outline unavailable
Session MoA ?  Location Outline ? 
Semester 1 2020
Normal day Camperdown/Darlington, Sydney
Semester 2 2020
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Remote
Semester 2 2021
Normal day Camperdown/Darlington, Sydney
Semester 2 2021
Normal day Remote
Semester 1 2022
Normal day Camperdown/Darlington, Sydney
Semester 1 2022
Normal day Remote
Semester 2 2022
Normal day Camperdown/Darlington, Sydney
Semester 2 2022
Normal day Remote
Semester 2 2023
Normal day Camperdown/Darlington, Sydney

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Modes of attendance (MoA)

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