• 1. How would you model a financial time series which has changing volatility
• How would incorporate a mean effect into this model
• outline a basic multivariate model which has time varying variances and covariance.
• 2. Give three measures of forecast accuracy
• Is minimising these measures equivalent to producing an optimal forecast.
• Outline the process of forecast combination s. Why will you expect this to produce an improved forecast
• 3. Suppose you have a large number of variables which you believe might have some forecast information. How would you use these variables to forecast in an efficient way
• How would you extend this procedure to allow for dynamic effects
• 4. Give an account of the Box- Jenkins methodology
• 5. How would you extend the univariate GARCH framework to allow for the modelling of covariance