KTEE 310-FINANCIAL ECONOMETRICS Lecture 6: TIME SERIES ANALYSIS AND APPLICATIONS IN FINANCE 1 Dr TU Thuy Anh Faculty of International Economics QUARTERLY GDP 2 0 20000 40000 60000 80000 100000 120000 140000 160000 1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 COMPONENTS OF A TIME SERIES 3  Time series: An ordered sequence of values of a variable at equally spaced time intervals  Such as: vn index, inflation, gdp growth rate, etc.  Components:  Trend  Seasonality  Cycle  Irregular  The 4 components may make up a TS in two ways:  additive model: Xt = Tt + St+Ct+It  multiplicative model: Xt = Tt * St *Ct *I t

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