Time Series

In this course we give an introduction to models for time series. An example of a time series is the closing value of the AEX index. At the end of each day at the stock exchange this closing value is published. In this course such series are studied from the point of view that the observed closing values can be seen as realisations of a sequence of random variables. An important difference with simple introductory statistical models is that for time series we will not assume the random variables to be independent. We will look for models that fit the observations. These models will be used for instance to do predictions. Specific models that will be discussed are ARMA and (G)ARCH.