This online course provides an introduction to Stata’s ARCH/GARCH Commands.
The course is ideal for beginner/intermediate level Stata user who wants to learn how to model and forecast financial markets volatility via most used heteroscedasticity models.
The course is based on the recent Stata Press publication by S. Boffelli and G. Urga (2016), Financial Econometrics Using Stata.
The course runs from 13.00-17.00 (UK Time)
The course provides an introduction to Stata’s ARCH/GARCH Commands. Taking a “learning-by-doing” approach, we aim to turn beginner/intermediate users into confident ones employing plenty of examples and a constant stream of challenging exercises. Participants leave with the know-how and courage to independently perform their own market volatility analysis. The course is intentionally flexible.
The agenda emerges dynamically and depends on the group’s prior background and knowledge of Stata.
By the end of the course, all participants will feel comfortable undertaking the following tasks:
Principal texts for pre & post-course reading:
S. Boffelli and G. Urga (2016), Financial Econometrics Using Stata.