CFA Level II: Quantitative Methods- Time-Series Analysis Part I(of 3)
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- เผยแพร่เมื่อ 1 ต.ค. 2024
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this series of videos covers the following key areas:
evaluate the predicted trend value for a time series,modeled as either a linear trend or a log-linear trend, given the estimated trend coefficients
factors that determine whether a linear or a log-linear trend should be used with a particular time series and evaluate limitations of trend models
requirement for a time series to be covariance stationary and describe the significance of a series that is not stationary
structure of an autoregressive (AR) model of order p and calculate one- and two-period-ahead forecasts given the estimated coefficients
autocorrelations of the residuals can be used to test whether the autoregressive model fits the time series
mean reversion and calculate a mean-reverting level
in-sample and out-of-sample forecasts and compare the forecasting accuracy of different time-series models based on the root meansquared error criterion
instability of coefficients of time-series models
characteristics of random walk processes and contrast them to covariance stationary processes
implications of unit roots for time-series analysis, explainwhen unit roots are likely to occur and how to test for them,
steps of the unit root test for nonstationarity
relation of the test to autoregressive time-series models
test and correct for seasonality in a time-series model and calculate and interpret a forecasted value using an AR model with a seasonal lag
autoregressive conditional heteroskedasticity (ARCH) and describe how ARCH models can be applied to predict the variance of a time
series
time-series variables should be analyzed for nonstationarity and/or cointegration before use in a linear regression
appropriate time-series model to analyze a given investment problem and justify that choice.
We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with!
This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level II Classes in Pune (India).
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Thanks for the video, Where can I find the rest of the parts?
Well explained. Bro. Respect from a CFA level 2 candidate of Pakistan.. good lecture
Utkarsh.. u r really a Genius and a wonderful mentor
how do you determine the amount of lags for an autoregressive time series?