Introduction to Time Series and Forecasting
1.1 Examples of time series
Ex 1.1.1 (Australian red wine sales; WINE.TSM)
xt = monthly sales of red wine (in kilolitres)
t = (Jan, 1980), (Feb, 1980), . . . , (Oct, 1991)
t=1, 2, . . . , 142.
STAT W4437: Time Series Analysis
February 2, 2016
Day/Time: TR 1:10pm - 2:25pm
Location: 207 Mathematics Building
Name: Abolfazl Safikhani
Office: School of Social Work (SSW), 1255 Amsterdam Avenue, office 1033
Financial time series and modeling volatility
Stylized Facts of Financial Returns
Define Xt = 100*(ln (Pt) - ln (Pt-1) (log returns)
P(|X1| > x) ~ C x-,
0 < < 4.
X (h) near 0 for all lags h > 0 (MGD
ARMA Modeling and Forecasting (Chap 5)
5.1 Preliminary Estimation
order identification (requires the fitting of a number of
initial parameter estimates for likelihood optimization.
ARMA(p,q) Model: Based on observations x1,