Chapter 5 — Time Series Models

Advanced Business Analytics

Prof. Xuhu Wan

What’s in this chapter

4 sections, each ~15-20 minutes:

  1. Pandas Time Series, Stationarity, Autocorrelation
  2. ARIMA — Conditional Mean Modelling
  3. Volatility Clustering with ARCH and GARCH
  4. Cointegration, Regime Detection, Mean-Reversion Backtest

Prof. Xuhu Wan · HKUST · Advanced Business Analytics