Faculty Development Programme On Applied Time Series Analysis

Resource Person

Prof. C P Gupta
Senior Professor,
Department of Finance and Business Economics, South Campus University of Delhi, Delhi

Schedule and Content

Date Topic Details of the Topics
14 May, 2022 Introduction to Time series Traditional Vs. Modern Way of looking at Time Series, understanding Data Generating Process Behind Time series
Stationarity in Time Series Discussion about ACF and PACF. Unit Root and testing of Unit Root. Random Walk and Connect between Finance and Random Walk
16 May, 2022 Uni-variate time series modelling – orecasting Mean Autoregressive model (AR), Moving Average model (MA), Autoregressive Moving Average model (ARMA), Autoregressive Integrated Moving Average model
Uni-variate time series modelling – Forecasting Mean Stylized Facts in Finance – Modeling Volatility using ARCH and GARCH
02-Apr-22 Co-integration and Granger Causality Engel Granger Causality and its test, VAR model, VECM model, Cointegration and Error Correction Model Johansen test, Impulse Response Function and Variance Decomposition


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