In this part of the course, we will explain to you how to set up Python 3 and then load up Jupyter. We’ll also show you what the Anaconda Prompt is and how we use it to download and import new modules.

In this section of the course, we are going to learn what makes a dataset a time series, and discuss what separates it from cross-sectional data. We’ll introduce the appropriate mathematical notation for such data before loading up a dataset and quickly examining it.

In this section of the course, we will go through the pre-processing aspects of working with time series. We’ll see how to interpret string text as dates and set these dates as indices of the data set. We’ll then set a fixed frequency and account for any missing values before splitting up the set for training and testing. In the appendix, we’ll show you how to import data directly from Yahoo Finance, so you can conduct your own analysis after completing the course.

In this section of the course, we’ll examine and visualize some important types of time series, like white noise and a random walk. We’ll then discuss important concepts like stationarity, seasonality and autocorrelation, before exploring the ACF and PACF of a S&P 500’s prices.

In this short section, we’ll discuss the general rules of manual model selection. We will talk about which models we prefer, what we want to avoid and how to decide between models. We’ll talk about the Log-likelihood and information criterion as measurements of preference among similar models.

In this section, we’ll introduce the Autoregressive Model and see how well it models market index prices and returns. We’ll discuss how to use the PACF to determine the appropriate number of lags for the model and explore the concept of normalizing values and its impact on model selection.

In this section, we’ll introduce the Moving Average model and see how well it describes price returns. We’ll also have a look at how the MA model performs when dealing with non-stationary data and comment on the mathematical arguments for and against using such models for index prices.

In this section, we’ll combine the two models we just examined – the AR and MA – into one: the ARMA. We’ll examine how they synergize and limit the drawbacks each model has on its own. We’ll then talk about the issues that come along with finding the best-fitting ARMA model and see how checking the model residuals can be beneficial in model selection.

In this section of the course, we’ll talk about “integration” and integrated models. We’ll explain why and when we use them, as well as when we should avoid them. Here, we’ll also briefly explain the idea of “MAX” models and how to add exogenous variables to any time series model.

In this section, we’ll talk about the idea of measuring volatility when we’re looking for stability in our investments. We’ll explain the multiple layers of ARCH models and how they differ from the ARMA family of models we just examined. We’ll spend some time discussing the vast functionality of the “arch_model” method and why it’s important to know the default values for many of its arguments.

In this section of the course, we’ll discuss the generalized version of the ARCH model, also known as the GARCH. We’ll explore why this model is more widely used, how it outperforms high-order ARCH models and why it looks so similar to the ARMA. We’ll then empirically test the known fact that the GARCH(1,1) is the best model for measuring the volatility of price returns.

In this section of the course, we’ll automate the model selection process with the help of the AUTO ARIMA package.

In this section of the course, we will make forecasts about the future based on the simple models we have introduced so far.

In this final part of the course, we will examine how a real-life event like the Dieselgate scandal can alter the trends in time series data.