Course Outline: Business Forecasting
Faculty: Hussain Ahmed Enamul Huda, Assistant Professor, Department of Finance, University of
Dhaka
Google Classroom Code: 6qofdrp
Course objectives: a. To get the students well acquainted with DGP [data generating process]
b. To learn how to use time-series properties of dataset for forecasting purpose
Textbooks:
Hanke, J. E., & Wichern, D. W. Business forecasting. Pearson Education.
Tsay, R. S. Analysis of financial time series. John wiley & sons.
Wooldridge, J. M. Introductory econometrics: A modern approach. Cengage learning
Course contents: The below-mentioned contents are tentative [subject to amendments].
Chapter name
Time Series & their
components
An
introduction
to
forecasting techniques
Moving
averages
&
Smoothing methods
Characteristics
of
Financial Time Series
Linear
Time
Series
Analysis
and
Its
Applications
Conditional
Heteroscedastic Models
Basic Regression Analysis
with Time Series Data
Serial Correlation and
Heteroskedasticity
in
Time Series Regressions
Contents to be covered
Trend; Seasonality; Cyclicality; Irregular variation
Textbook
Hanke, Chapter 4
Autocorrelation; Partial autocorrelation; Forecasting error
Hanke, Chapter 2
Naive method; Moving average; Exponential Smoothing; Holt’s Hanke, Chapter 3
method; Winter’s method
Asset returns; Distributional properties of return
Say, Chapter 1
Stationarity; White Noise; AR models; MA models; ARMA models; Say, Chapter 2
Unit-Root Nonstationarity; Cointegration; Granger representation
theorem
Characteristics of Volatility; ARCH model; GARCH model; IGARCH
Say, Chapter 3
CLRM assumptions in time series regression; Deriving estimators
using FOC; Proof of unbiasedness & consistency
Properties of OLS with serially correlated errors; Correcting for serial
correlation and heteroskedasticity
Woolridge,
Chapter 10
Woolridge,
Chapter 12
Assignment: There will be 03 assignments. Here students will apply their understanding of time-series
analysis and STATA package to solve assignment problem. The assignments will be related to:
a. Test of weak-form of market efficiency
b. Test of cointegration between US & UK market return
c. Test of beta stability across time