Business Forcasting

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5 Day Management Development Programme on Business Forcasting

(Applied Time Series Forecasting Models For Finance, Business And Economics)

Dr. Sarat Chandra Dhal

Programme Coverage (Introduction and Scope)

Modern business and financial environments in India have witnessed rapid progress and transformation  owing  to  fast  changing  behaviour  of  consumers,  savers,  investors,  financial markets and institutions amidst globalisation, economic reform and technological revolution. Financial markets operate in the real time environment supported by online trading platform and seamless information processing and thereby, posing challenges to company’s balance sheet and income management a complex dynamic process. With the adoption of modern information technology, sales and business orders of companies occur now continuously in the time domain.

A key feature of the modern business environment is that industries across the spectrum have to contend with uncertainty and risks, which could evolve continuously and dynamically. In order to be competitive and successful, organisations have to continuously monitor, predict and assess their  business   and  financial   performances   and  the  risks  and  uncertainties   therein   as  a continuously and regularly. This in turn requires advanced quantitative techniques based on high frequency  time  series  data  and  information  arising  from  business  and  finance  operations. Investment banks and financial institutions in particular exclusively rely on the time series modelling and forecasting techniques for predicting asset returns and managing portfolio risks. Business analytics professionals use time series techniques for monitoring and assessing their business and financial performances as compared with peers so that early warnings and signals are used for devising appropriate corporate strategies.

It is against this backdrop that this course on modern time series forecasting models for business and finance is introduced to help working executives and professionals. At the same time, researchers and independent analysts can benefit from this course. The course will enable professionals  to get practical idea of how some fundamental  theories in finance and business work  in  the  real  world.  The  course  will  cover  the  fundamental  concepts  required  for  the description, modelling and forecasting of time series data relating business and financial performance.  The hallmark of this course will be the emphasis on real-world  data sets and a practical  laboratory  component  and  hands-on  sessions based  on  some  popular  software packages including the EVIEWS.

Programme Objectives

The objective of this course is to provide business managers, business analysts and finance professionals practical knowledge of forecasting business and financial indicators and the underlying risks.  The course will be useful for them in various ways:

  • Scientific decision making required for success in an increasingly competitive, complex and dynamic business and financial environments;
  • Assess the impact and effectiveness of business and financial strategies in the shorter to medium-longer horizon.
  • Evaluate  and  measure  the  underlying  risks  to  business  and  financial  performances continuously and compare the same with peers in the industry in order to devise early warning signals and innovative change and management strategies.

Programme Content (Main topics / headings)

  • Introduction to Time Series Data Analysis for Business, Economics and Finance;
  • Trends  and  Cycles,  Deterministic  and  Stochastic  Trends,  Stationary  Time  series, Random Walks, Unit Root Hypothesis, Efficient Market Hypothesis
  • Forecasting with Uni-variate models: Box-Jenkin’s Auto Regressive Integrated Moving Average Model (ARIMA), Seasonal ARIMA
  • Modelling  and Forecasting  with Granger Causality  Hypothesis,  Error Correction  and Co-integration Models (ECM),
  • Multivariate  Forecasting  with  Vector  Auto-regression  (VAR)  and  Structural  VAR (SVAR) models
  • Multivariate  Forecasting  with  Vector  Error  Correction  and  Co-integration  (VECM) model
  • Measuring  Risk         with      Auto      Regressive        Conditional          Heteroscedacity models (ARCH/GARCH).
  • Structural Break Analysis

Pedagogy

This course will have broadly two components: (i) Theoretical Lessons of various time series models and (ii) Practical and Hands-on Sessions.

Theoretical lessons will cover trends and cycles, stochastic trend, random walk and unit root test hypotheses,  Granger  Causality,  single  equation  error  correction  and  co-integration  models (ECM),  multivariate  vector  error  correction  model  (VECM),  vector  auto-regression  model (VAR), structural VAR (SVAR), and risk models (ARCH and GARCH).

Practical  sessions  will cover,  inter  alia, uni-variate  and multivariate  forecasting  of company sales, stock prices, financial market turnover, interest rates etc. Empirical estimation of various parity conditions will be demonstrated. Risk pricing models will demonstrate assessing portfolio risk management. Participants will be trained for using various statistical software packages such as:

  • EVIEWS,
  • STATA,
  • WINRATS,
  • GRETL, and
  • JMULTI.
Who may attend  

This programme can cater to the needs of people from various professions:

  • Finance Professionals
  • Financial Analysts
  • Financial Market Analysts
  • Broking Firms and Equity Analysts
  • Fund Managers
  • Bankers
  • Business Planners,
  • Business Analysts,
  • Marketing Managers,
  • Marketing Researchers,
  • Business Executives, Managers
  • Academics
  • Research Scholars
Programme Director and Faculty  

  • Programme Director: Dr. Sarat Chandra Dhal
  • Guest Faculties from Premier Institutions
Venue IIM Rohtak Campus, Rohtak (NCR Region of Delhi).
Duration Five Days (15 Sep – 19 Sep 2014)
Application for Nomination  

Application  or  nomination  for  participation  along  with  programme  fee  must  reach  the  PDP Office latest by 15 days’ before the date of the programme.  Programme  fee is to be paid by Demand Draft/Cheque in favour of “Indian Institute of Management  Rohtak” payable at any Bank at Rohtak. One can pay the fee through Net Banking. In case of NEFT (to be provided on request), kindly intimate the PDP office with payment details by sending an email.

Online   enrolment   and   payment   option   is   also   available.   Please   access   the   website, www.iimrohtak.ac.in and click ‘Executive Training (MDP)’ under the ‘Programmes’ head. Click

‘Program Calendar’ and open this particular programme for details. Fill in the enrolment form

and send it by email. You can pay online.

The  completed  Enrolment  Form  and  payment  made  by  Cheque/Demand  Draft/Net  Banking

/Online mode must reach the below mentioned address at least two weeks prior to the commencement of the MDP. However, if seats are available, one may register one week before the commencement of the MDP.

Administrative Officer – PDP
Indian Institute of Management Rohtak
M.D.U. Campus, Rohtak 124001
Haryana, India
Phone: 01262 228528
E-mail: pdp.incharge@iimrohtak.ac.in / mdpoffice@iimrohtak.ac.in

Please note that confirmation of participation will be provided only on receipt of programme fee by PDP Office. For all other details on administrative matters please refer to the ‘Guidelines for Participants’ at our website or e-mail to   mdpoffice@iimrohtak.ac.in