SUNWAY UNIVERSITY BUSINESS SCHOOL

BACHELOR OF SCIENCE (HONS) IN ACTUARIAL STUDIES

BACHELOR OF SCIENCE (HONS) IN FINANCIAL ANALYSIS
BACHELOR OF SCIENCE (HONS) IN FINANCIAL ECONOMICS

ACADEMIC SESSION: JANUARY 2016 SEMESTER

MAT3014 TIME SERIES & FORECASTING

GROUP ASSIGNMENT

DUE DATE: 18 FEBRUARY 2016, BEFORE 4pm.

INSTRUCTIONS TO CANDIDATES

1. There are TWO (2) pages in this Assignment including the cover page.
2. This assignment will contribute 10% to your final grade.
3. This is a group assignment. Between 5 to 6 members per group.
4. The assignment must be typewritten with 1.5 line spacing on A4 size paper. The
assignment should be submitted with a cover sheet which includes the names
and ID number of group members, subject name, subject code, and lecturer's
name.
5. Marks will be allocated for correctness and clarity of presentation.

IMPORTANT

Assignments must be submitted on their due dates. If an assignment is submitted after

its due date, the following penalty will be imposed:
● One to two days late : 20% deducted from the total marks awarded.
● Three to five days late : 40% deducted from the total marks awarded.
● More than five days late : Assignment will not be marked.

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 MAT3014 / Group Assignment (Q) /JAN 2016

INTRODUCTION
Model building has three main stages, which can be described as: i) model specification; ii)
model estimation; and iii) model checking. In this assignment you will analyze some time
series data, using the methods you have learned. Your task is to find a suitable model for the
allocated time series following the three stages of model building. Find an ARIMA(p,d,q)
model that fits well, and defend its adequacy. Then, do a forecast of 20 periods into the future
using your final model.

Present your analysis in the form of a report. Your report should include the time plots,
correlograms, test statistics, and summary statistics.

DATA
Examine the time series data assigned to your group as follows:
Group Time Series Data
1, 5, 9, 13 ausbeer {fpp} – Quarterly beer production in Australia (in megalitres), 1956:Q1
to 2008:Q3
2, 6, 10,14 austourist {fpp} – Quarterly visitor nights spend by international tourists to
Australia, 1999-2010.
3, 7, 11, 15 sales {astsa} – Sales (in $1000 USD), 150 observations
4, 8, 12, 16 wmurders {fpp} – Total murdered women rate (per 100,000 standard
population) in the USA, 1950-2004.

REPORT (20 Marks)

Below are steps to guide you in the preparation of your report.
1. Brief introduction
2. Model Specification
a) Examine time plot of the time series.
b) Perform a correlogram analysis.
c) Perform transformation or additional tests if necessary.
d) Suggestion of plausible models. Further explanation needed.
3. Model Estimation
a) Estimate your models and examine various coefficients.
b) Examine the fitted values against the actual values.
4. Model Checking
a) Comment on residuals.
b) Check if the residuals of the models resemble a white noise process.
5. Your Final Model
6. Forecasting
a) Provide a point and interval forecast of 20 periods into the future.
b) Provide an explanation/description of your forecast.
7. Conclusion
--END OF PAPER--
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