Module 3: Time Series Analysis
September 5, 2022
- Time Series Analysis
- Watch this Video Lecture (start at 1:20)
- Assignment instructions (same as in Bb):
- Download interest rate spread data (same as Yield Curve link above) from the St. Louis Fed
- Fit a 2nd, 3rd and 4th order Polynomial curve (n=3).
- Record the polynomial Equations (e.g., y = 0.04*x^2 + 0.22*x + .45)
- Record the R-Squared values (e.g., R^2 = 0.84)
- Forecast interest spreads
- Use the best fitting curve (and its equation)
- Generate forecasts for the next 5 time periods (n=5 forecasts)
- “Share” your Google Sheets file with “Anyone” and copy/paste the link into Blackboard.