Math 4826: Time Series and Forecasting

Spring Semester, 2022,  Tuesday 11:30-13:20  LMC514, Wednesday 11:30-12:20 OEM602

Instructor: PENG, Heng, Associate Professor. Office: FSC1205.  Phone: 3411-7021.


Teaching Assistant:

Office Hours:  Tuesday 9:30-11:30,  Wednesday 9:30-11:30 and Thursday 9:30-11:30,  or by appointments.

Syllabus and Others: click here

Lecture notes 1

Sunspot data

Canadian lynx data

Interest rate data

    Three-month Treasury bill

    Six-month Treasury bill

    Twelve-month Treasury bill

The Standard and Poor's 500 Index

An environment data set

Signal processing-deceleration during car crashes

Time Series Data About Hong Kong

1. Payment Trend

2. Confirmed Coronvirus Cases in Hong Kong

3. Hang Seng Index from 2006-2020: Daily, Week, Month

4. Stock Price of HSBC from 2006-2020: Daily, Week

Financial Time Series Charactistics

1. daily simple returns of the International Business Machines (IBM) stock

2. IBM stock from January 1926 to December 2008

3. U.S. interest rates from April 1953 to February 2009

 * 10-year Treasury constant maturity rate

 * 1-year maturity rate

daily exchange rate between U.S. dollar and Japanese yen from January 4, 2000, to March 27, 2009

Lecture notes 2

R code for regression

Lecture notes 3

R code for Exponential Smoothing

Lecture notes 4

Appendix notes1  for Lectutre Note 4

Cases Study

Appendix notes2  for  R application in Time Series Analysis

Matlab Programs

Chapter 1

Plot figures for datasets of Example 1.1-1.4

Simulating AR(2) Model

Compute AR(2) Model predicted error

Simulating ARIMA(1,1,1) Model

Chapter 2


Running Performance  


Running Performance Analysis

Chapter 3

Example 3.1 Annual U.S. Production: Dataset, Main Program, Function: 1

Example 3.2 Quarterly Iowa Nonfarm Income: Dataset, Main Program, Functions: 1 2

Example 3.3 Weekly Thermostat Sales: Dataset, Main Program, Functions 1 2

Example 3.4 Car Sales: Dataset, Main Program, Functions: 1 2

Example 3.5 New Plant and Equipment Expenditures: Dataset, Main Program, Functions: 1 2 3


Chapter 4

Example 4.1 Yield Data: Dataset, Main Program, Function: 1

Cases Study


Weekly egg prices at a German agricultural market  between April 1967 and May 1990

GE daily returns for GE common stock  from December 1999 to December 2000.

Quarterly earning per share of Johnson and Johnson from 1960 to 1980.

The monthly simple returns of the CRSP Decile 1 index from January 1960 to December 2003 for 528 observations.

The 1-year and 3-year U.S. treasury constant maturity rates.