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ACSC/STAT 418: Time Series Analysis and Forecasting

Term Project Guideline, Fall 2021

Objectives: This term project aims at providing students with an opportunity to apply a collection of methods and tools covered in classes/ labs to a real data. Each student will be working in a group of two students (or individually) on a selected time series of interest.

Examples:

– Monthly treasury yield rate (e.g., 1-year bill, 5-year note, 25-year treasury bonds, etc.)

– Monthly returns of a stock index

– Monthly returns of a commodity index (e.g., crude oil price, gold price, etc.)

– Monthly house price index of a city

– Monthly consumer price index

– Other time series of interest (under instructor’s permission)

Some data sources:

– Economic data from Federal Reserve Board (US): https://fred.stlouisfed.org/

– Treasury yield rates (CA): http://www.bankofcanada.ca/rates/interest-rates/canadian-interest-rates/

– Price indexes (CA): https://www.bankofcanada.ca/rates/price-indexes/

Activities:

– Downloading/examining data sets of interest

– Background reading on the chosen data

– Identification of deterministic time series, if any

– Modeling with stochastic time series such as ARMA models

– Estimation and forecasting

Contents: Each group (or individual) must submit a term project report (maximum 15 pages) including the following contents by December 6, 2018:

– Overview: Goals and/or motivation of the project in the context of actuarial applications

– Summary of main findings

– Data summary/description

– Models and methods

– Results of analysis

– Further discussions

All supporting materials (e.g., figures, tables, references) may be attached in Appendix. There are no restrictions on the font size, line spacing or margins, but please be reasonable.