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Times Series Analysis and Forecasting Project 2: Modelling Volatility and Advanced Topic Presentation

(1) Preamble

• Must be completed in a team of 3 or more students

• This project must be submitted in PowerPoint Presentation format only.

• This project is worth 20% of your marks in this course

(2) Due Date and what to submit

• This project is due by April 10, 2023, 11:59 PM

• Please submit One narrated PowerPoint on Modelling Volatility and Advanced Topic.

• Please submit the file to OWL.

• Your narrated PowerPoint must be a maximum of 50 minutes.

• For how to narrate a PowerPoint, please see: https://support.microsoft.com/en-us/office/record-a-slide-show-with-narration-and-slide-timings-0b9502c6-5f6c-40ae-b1e7-e47d8741161c

• Some points to note:

o Turn off your camera; Only your audio recording is sufficient

o Do not convert your narration to a video; Upload the file only as PowerPoint

(3) What is the presentation about?

Submit in a single PowerPoint presentation:

First part: Modelling Volatility

➔ Review the notes on Modelling volatility on OWL.

➔ Then Go to: https://www150.statcan.gc.ca/t1/tbl1/en/tv.action?pid=1010012501

➔ Download the series: Standard and Poor's/Toronto Stock Exchange Composite Index, close

o Name the download series TSX

➔ For the period: January 2011 to December 2019.

Required: Make a narrated PowerPoint presentation where you discuss/explain/present the following:

(a) Apply any transformations you deem necessary to TSX, and then estimate a conditional volatility model of your choice for the transformed TSX for the period January 2011 to December 2018. The more intricate and sophisticated the model the better. Report your results and explain the steps you took to develop your model and how you know your model is statistically adequate (use diagnostic tests).

(b) Forecast (static) the mean of the transformed TSX and its conditional variance over the horizon January 2019 to December 2019. As applicable, report/graph your results in comparison to the actual mean of TSX. Explain your results and report and discuss any forecasting related statistics.

Second part: Advanced Topic Presentation

Required: Make a narrated PowerPoint presentation where you explain the following:

Choose from any topic in Time series analysis and forecasting. The topic does not have to be in this course You must dig deeper at an advanced level into your chosen topic by presenting an advanced perspective in relation to the state of the knowledge in this area or closely related area.

You do not have to use data, but you may choose to do so if you wish.

Advanced topic should reference at least scholarly articles from top and reputable journals. Consider digging deeper from topics that can be found in journals such as:

Journal of Forecasting

International Journal of Forecasting

Journal of Time Series Analysis

You are required to:

• Explain in much succinctly your team’s insights that you would like to share about this topic.

• Your presentation must be technical (the more technical the better) but clearly explained

In addition, while you are not restricted, you can consider answering questions such as:

─ Why is this topic interesting and relevant?

─ How is this perspective that you have decided to investigate at the forefront of this area/topic?

─ Why is it an advanced perspective on this area in time series analysis and forecasting?

─ How does it extend upon or build on the area of this course?

─ What are the policy and practical implications of this topic?

─ What problems/issues is your advanced topic perspective trying to solve?

─ What are the limitations of the advanced topic perspective?

─ Additional questions and insights that you would like to share about this topic

(4) Grading and accountability

• This project is worth 20% of your grade.

• On the first page of the report please list:

o what each member did

o each member’s overall contribution to the project (e.g.,10%, 20%, 50%, etc.)

• Take note of the following how your grade for the project will be determined:

Grade %                             Descriptor

90 – 100 Brilliant. Truly brilliant modelling volatility estimation and advanced topic presentation. Supporting material is brilliant. The explanation of the related literature is truly beyond the level expected of an undergraduate work, expressing closely argued and original ideas with superb communication skills and complete mastery of the application of data (if relevant) and empirical (if relevant). Such presentations are only very rarely encountered.

85 – 89 Outstanding. Comprehensive knowledge of the advanced topic with very clear explanation in relation to the extant literature, more than that which would be expected for an undergraduate work. Summary and presentation show very critical judgment in selection and evaluation of relevant material, including information from primary sources. Logical structure and clearly written with outstanding application of data (if relevant) and empirical methods (if relevant). Such papers and presentation are less common. Supporting material is outstanding.

80 – 84 Excellent. Truly excellent modelling volatility estimation and advanced topic presentation. Excellent knowledge of the advanced topic with strong evidence of explanation in relation to the literature. There is strong evidence of critical judgment in selection and analysis of relevant material for the advanced topic. Summary and presentation are well written with good structure and excellent application of data (if relevant) and empirical methods (if relevant). Minor errors are evident but compensated by excellence in other areas. Supporting material is excellent

75 –79 Very good. Very good modelling volatility estimation and advanced topic presentation. It shows very good evidence of reading and understanding of primary sources. Some evidence of a critical grasp of the subject though some errors are evident. The application of data (if relevant) and empirical methods (if relevant) communication skills are very good. Such Summary and presentation represent the vast majority of those encountered. Supporting material is very good. This is the typical paper and presentation encountered.

70 – 74 Good. Good modelling volatility estimation and advanced topic presentation. The advanced topic is structured in a logical manner but not as well as that seen at higher grades. Communication skills are good. Errors are evident but they do not detract from understanding. Supporting material is good.

60– 69 Average. Weaker estimation of the volatility model. Some knowledge with less evidence of analysis of the advanced topic than seen at higher grades. The advanced topics is not structured in a logical manner and there is weak communication skills and poor application of data (if relevant) and empirical methods (if relevant). Errors interfere with understating at times. Supporting material is average.

50 – 59 Poor. Exhibits one or more of the following:

• Factually correct but at an elementary level

• Significant gaps in the story

• Significant errors in fact or understanding

• Muddled lacking cohesion and direction, or largely missing the point.

21 – 49 Very Poor. A very thin piece of work containing. Communication skills are at a low level or entirely absent.

1 – 20 Serious Fail. Work that provides little, if any, evidence of study. No analysis, no originality, appalling presentation.

0 Outright Fail. Work disqualified due to lateness/plagiarism or other disciplinary offences.