| Kode Mata Kuliah | MA5083 / 4 SKS |
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| Penyelenggara | 201 - Mathematics / FMIPA |
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| Kategori | Lecture |
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| Bahasa Indonesia | English |
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| Nama Mata Kuliah | Analisis Deret Waktu Keuangan | Financial Time Series Analysis |
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| Bahan Kajian | - Definisi dan sifat returm
- Kestasioneran dan model linier atau homoskedastik
- Model ARCH/GARCH dan spefisikasi parameter
- Penaksir likelihood maksimum and kestasioneran
- Volatilitas stokastik dan model SVAR
- Konsep prediksi
- Prediktor dan uji keakuratan
| - Definition and properties of return
- Stations and linear or homoskedastic models
- ARCH/GARCH model and parameter specification
- Estimator of maximum likelihood and likelihood
- Stochastic volatility and SVAR model
- Prediction concept
- Predictor and accuracy test
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| Capaian Pembelajaran Mata Kuliah (CPMK) | - Mahasiswa memiliki kemampuan mengolah dan memahami data deret waktu
- Mahasiswa memiliki kemampuan memaknai dan menguji kestasioneran
- Mahasiswa memiliki kemampuan memodelkan data dengan model homoskedastik atau heteroskedatik
- Mahasiswa memiliki kemampuan memprediksi observasi ke depan and menguji keakuratan
| - Students have the ability to process and understand time series data
- Students have the ability to interpret and test the stationary
- Students have the ability to model data with homoscedastic or heteroscedastic models
- Students have the ability to predict future observations and test their accuracy
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| Metode Pembelajaran | Ceramah dan diskusi | Lectures and discussions |
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| Modalitas Pembelajaran | Bauran, sinkron, praktikum, dan demo program | Blended learning, synchronous, practicum, and programme demos |
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| Jenis Nilai | ABCDE |
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| Metode Penilaian | PR, kuis, tugas mandiri, tugas kelompok, UTS, UAS | Homework, quizzes, independent assignments, group assignments, Midterm Exam, Final Exam |
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| Catatan Tambahan | | |
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