ts-iii-extras

Time Series III: Extras (GLS, GARCH, and VAR models)

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Materials We Provide

Topic	Description	Link
Lesson	Jupyter Notebook	Link
Slides	PDF	Link

Dataset description:

• U.S. Macroeconomic Data
• Daily McDonald’s Stock Data

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Learning Objectives

After this lesson, students will be able to:

1. Define models and carry out ARIMA models with covariates in Python
2. Define models and carry out GARCH models in Python
3. Define models and carry out VAR models in Python

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OPTIONAL: Resources for Practice and Learning

For supplemental reading material on this topic, check out the following resources:

• Vector Autoregressive Models in “Forecasting: Principles and Practice”
• Advanced Notes on VAR Models
• VAR Models in R
• Article on Time Series Models in statsmodels

• VARMAX Models in statsmodels