University of St Andrews

Key information

SCOTCAT credits : 15

ECTS credits : 7

Level : SCQF level 10

Semester: 2

Availability restrictions: Not automatically available to General Degree students

Planned timetable: 10.00 am Mon (even weeks), Tue and Thu

This module provides an introduction to univariate linear times series models (ARIMA processes) and univariate non-linear times-series models (ARCH and GARCH). The syllabus includes: forecasting methods for constant mean and trend models, the ARIMA class of models (including seasonal ARIMA models), fitting and forecasting ARIMA models, ARCH and GARCH processes.

Relationship to other modules

Pre-requisite(s): Before taking this module you must pass MT2508

Learning and teaching methods and delivery

Weekly contact: 2.5 lectures (weeks 1 - 10) and 0.5 tutorial (weeks 2 - 11).

Scheduled learning hours: 30

Guided independent study hours: 120

Assessment pattern

As used by St Andrews: 2-hour Written Examination = 100%

As defined by QAA
Written examinations : 100%
Practical examinations : 0%
Coursework: 0%

Re-assessment: 2-hour Written Examination = 100%

Personnel

Module coordinator: Dr V M Popov
Module teaching staff: Dr M Papathomas
Module coordinator email vmp@st-andrews.ac.uk