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Financial Time-Series Models Workshop
Build and evaluate time-series forecasts for financial data using a walk-forward process.
Prerequisites: Python experience; familiarity with calculating returns from price data, autocorrelation, and time-based train-and-test splits
- Dependence, stationarity, and autoregressive models
- Moving-average models, ARIMA, and GARCH
- Return and volatility forecasts against a naive benchmark
- Rolling and expanding evaluation windows