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Time-Series Modeling in MATLAB

CODE SM22
  • Training Time 1 Day
  • Training Level Basic Medium Advanced
  • Who Should AttendEngineers, Designers, Academicians, Students
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  • SORU SOR
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AMAÇLARI

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
  • Analyzing model dynamics using Monte Carlo simulations
  • Forecasting data using fitted models

TRAINING CONTENT

Section 1 Preparing Data for Model Fitting
Section 2 Model Selection and Fitting
Section 3 Evaluating Model Appropriateness
Section 4 Forecasting and Simulation

 

REQUIREMENTS

  • MATLAB for Financial Applications
  • Knowledge of time-series modeling concepts.