Forecasting Financial Markets


Introduces statistical models for financial price and risk. ARMA, GARCH, Value-at-Risk. Covers both theory underlying these models and practical implementation using statistical software (MATLAB). Pre-requisites: MATH202, or 212, or 216, or 221, or 222; and ECON208D, or STA111, or STA130, or STA230/MATH230, or STA250/MATH 342. One course.

Course syllabus

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