STAT 4170

Financial Time Series and Forecasting

Course Description

Prerequisites

A prior course in probability, a prior course in regression, and a prior course in programming

Disciplines

Quantification, Computation & Data Analysis

This course introduces topics in time series analysis as they relate to financial data. Topics include properties of financial data, moving average and ARMA models, exponential smoothing, ARCH and GARCH models, volatility models, case studies in linear time series, high frequency financial data, and value at risk.

Instructors

Current All Time

Jeffrey Woo

Fall 2025

TuTh 3:30pm - 4:45pm TuTh 5:00pm - 6:15pm