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MATLAB

Training:

Time-Series Modelling in MATLAB

This one-day course provides a comprehensive introduction to time-series modeling using MATLAB® and Econometrics Toolbox. The course is intended for economists, analysts and other financial professionals with prior experience of MATLAB who require to develop and maintain time-series models. The course is designed to follow the standard Box-Jenkins procedure for developing time-series models.

High-level course themes include:

  • Preprocessing time-series data
  • Identifying long-term and seasonal trends in time-series data
  • Testing data stationarity using hypothesis tests
  • Creating and fitting ARIMA and GARCH time-series models to a data set
  • Comparing different model fits for the same data
  • Analysing model dynamics using Monte Carlo simulations
  • Forecasting data using fitted models

Prerequisites: MATLAB for Financial Applications and knowledge of time-series modeling concepts.