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Modelling and Forecasting Volatility - from Theory to Practice
15 - 17 September 2004,Centre for Economics Analysis (CEA@Cass)
Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.
Course Description
Course Programme
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Terms and Conditions
About G@RCH
Timberlake Consultants Ltd, the distributor of several econometrics packages (EViews, OxMetrics, STATA, GAUSS, RATS, and more), invite you to attend a three-day course in Central London, covering the use of GARCH models in financial econometrics.
The Course - Several major advances in financial time series, forecasting and software engineering have occurred in the past few years. These advances provide a major breakthrough in the modelling of financial time series using easy-to-use object-oriented Windows based software. The course aims to provide delegates with background on financial econometric modelling methods and demonstrate, using financial data, how to interpret and report the results. The software G@RCH - the most recent module of OxMetrics - will be used throught the course to demonstate when and how to model and interpret GARCH models.
About OxMetrics and G@RCH - G@RCH 4.0, is an OxMetrics module dedicated to the estimation and forecast of univariate ARCH-type models. Theis module is developed develope by Sébastien Laurent and Jean-Philippe Peters and published and distributed by Timberlake Consultants.
- PcGive Professional 10, the well known econometrics software package developed by Prof. David F. Hendry and Jurgen A. Doornik;
- the programming language of Ox 3.3 developed by Jurgen A. Doornik;
- and OxGauss, an Ox application aiming at running Gauss codes under Ox and/or calling Gauss procedures from an Ox program.
Keywords: ARCH, Univariate and Multivariate Models, Value-at-Risk, Forecast, Realized Volatility, OxGauss.
Who should attend - The course, given in English, is aimed at forecasters and researchers in:
- Financial Modelling/ Arbitrage Trading;
- Quantitative Investment Management;
- Energy Load Forecasting;
- and more.
Advantages - The course will
- Review ARCH-type modelling methods;
- Illustrate the use of ARCH models in Value-at-Risk applications;
- Provide hands-on experience in building financial econometric models - each delegate is provided with a computer throughout the course;
- Provide an opportunity for you to meet with a panel of experienced modellers to discuss industry-specific applications related to forecasting and time series analysis;
- Present new techniques aimed at modelling the volatility using intradaily observations (known as Realize volatility);
The Principal Lecturer - The principal lecturer is:
Dr Sébastien Laurent, Assistant Professor in Econometrics, Université Notre-Dame de la Paix in Namur (Belgium) and fellow at the CORE in Louvain-la-Neuve. Sébastien holds a Ph.D. (2002) in Financial Econometrics from Maastricht Universiteit (The Netherlands). In 2002-2003 he has done a post-doc at the CREST (Laboratory of Finance-Insurance) in Paris (France).
Sébastien Laurent joined the University of Namur in September 2003 as Assistant Professor in Econometrics. His teaching includes Introductory Econometrics, Advanced Econometrics I, Advanced Econometrics II, Advanced Financial Econometrics and an Economic Seminar. His research interests are in Applied Econometrics and in Financial Econometrics. He has published several papers in international journals, including Journal of Business and Economic Statistics, European Economic Review, Journal of Applied Econometrics, Energy Economics, Journal of Economic Surveys, Computational Economics, Journal of Empirical Finance.
E-mail: Sebastien.Laurent@fundp.ac.be
Website: http://www.core.ucl.ac.be/~laurent/
Cost - The cost of the course are:
| 1st delegate | 1-3 Day | £ 1,200+ VAT = £ 1,410.00 |
| 2nd delegate | 1-3 Day | £ 1,000 + VAT = £ 1,175.00 |
The cost includes course materials, lunch, refreshments and the use of computers. The number of delegates is restricted. Please register early to guarantee your place. Further instructions will be sent with the joining instructions. If you need assistance in locating hotel accommodation in the area, request the help of our Training Department.
DAY 1 - Univariate ARCH Models
Introduction to autoregressive conditional heteroscedasticity (ARCH) models. Empirical evidences. Maximum likelihood estimation. Non-normal densities.
Practical sessions:
- Introduction to OxMetrics and G@RCH: data entry and management.
Empirical Illustrations using daily returns (stocks, indexes and exchange rates). - Estimating ARCH-type models using the G@RCH module. Forecasting the Value-at-Risk. Backtesting.
DAY 2 - VaR Forecasts and Realized Volatility
Forecasting the Value-at-Risk (VaR) using ARCH-type models. Modelling the conditional variance using the concept of realized volatility. Decomposition of the realized volatility into the realized continuous volatility and the realized jump. ARFIMA models. Forecasting perfomance.
Computer:
- Estimating ARCH-type models using the G@RCH class. Forecasting the Value-at-Risk. Backtesting.
- Introduction to PcGive : ARFIMA models.
DAY 3 - Multivariate GARCH Models and OxGauss.
Introduction to multivariate GARCH (MGARCH) models.
Computer:
- Empirical Illustration: Estimation of MGARCH models using financial time series (Dynamic Conditional Correlation Model, etc.). VaR forecast of a portfolio. Backtesting. Multivariate non-normal densities.
- GAUSS users will be shown how to use OxGAUSS and M@aximize
Registration closes 5 calendar days prior to the start of the course.
Cancellations:
- full fee returned for cancellations made over 28 calendar days prior to start of the course
- half-fee returned for cancellations made 14 calendar days prior to he start of the course
- no fee returned for cancellations made less than 14 calendar days prior to the start of the course.
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