Modelling and Forecasting Volatility with GARCH models - from Theory to Practice

TBA

Centre for Economics Analysis (CEA@Cass)
Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.

Contents

Course Description
Course Programme
Request an Enrolment Form Now
Terms and Conditions
About G@RCH

Timberlake Consultants Ltd, the distributor and publisher of the OxMetrics™ software, would like to invite you to attend a three-day course, in London. This course aims to provide delegates with background on financial econometric modelling methods and demonstrate, using financial data, how to interpret and report the results.

Participants may want to combine this course with one or more of the following courses/events:

The course - Several major advances in time series, forecasting and software engineering have occurred in the past years. These advances have provided a major breakthrough in the modelling of time series using easy-to-use object-oriented Windows-based software. This 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.

Who should attend? - The course is aimed to anyone working with time series data in

  • Economic Research/ Model Building
  • Financial Modelling/ Arbitrage Trading
  • Quantitative Investment Management
  • Sales and Inventory Forecasting
  • Traffic Modellers
  • Energy Load Forecasting
  • Academic lecturers and researchers
  • and more

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).

http://www.core.ucl.ac.be/~laurent/G@RCH/site/garchintro.html

Cost - The cost of the course is:

Organization Type
1st Participant
2+ Participants
Non Academic
£1,200.00
£1,080.00
Academic
£960.00
£880.00

Discounts

  • 20% discount for attending 2 courses
  • 30% discount for attending 3 courses
  • 10% for holders of the OxMetrics Enterprise Edition
  • a further 5% discount is provided to subscribers of the Foresight magazine

The cost includes course materials, course dinner, 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.

Top

Agenda
(subject to minor changes)

DAY 1 - Univariate ARCH Models

9.30 Coffee and registration

10.00 Welcome

Introduction to autoregressive conditional heteroscedasticity (ARCH) models. Empirical evidences (motivation). Properties of ARCH models.
Maximum likelihood estimation. Non-normal densities. Various extensions of ARCH models

Practical sessions:

  • Introduction to G@RCH 4.3: data entry and management.
  • Empirical Illustrations using daily returns (stocks, indexes and exchange rates).
  • Estimating ARCH-type models using the G@RCH module (rolling menus, the batch mode and ox). Forecasting the Value-at-Risk. Backtesting.
  • Simulating GARCH models with G@RCH.

17H00 Close

DAY 2 - High Frequency Financial Time Series, Realized Volatility

9H30 - Start

Modeling intraday data (5-min returns). Intraday seasonality.

Introduction to realized volatility, realized continuous volatility and realized jump.
Introduction to continuous time models.
Modeling and forecasting the realized volatility (ARFIMA models, HAR-RV models). Comparison with ARCH-type models.

Practical sessions:

  • Estimation of a GARCH-type model on 5-min returns with G@RCH.
  • Computation of the Realized Volatility (and its components) using G@RCH.
  • Forecasting the RV.
  • Comparison between RV models and GARCH-type models.

17H00 Close

DAY 3 - Multivariate GARCH Models and OxGauss.

Introduction to multivariate GARCH (MGARCH) models with a particular emphasis on large scale portfolios.

Practical sessions:

  • Introduction to MG@RCH: data entry and management.
  • Empirical Illustration: Estimation of MGARCH models using financial time series (Dynamic Conditional Correlation Model, OGARCH, GOGARCH, BEKK, RISKMETRICS etc.). VaR forecast of a portfolio. Backtesting.
  • Multivariate non-normal densities.

Note: GAUSS users will be shown how to use OxGAUSS and M@ximize

17.00 Close

Terms and Conditions

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.

    Payment of course fees required prior to the course start date

For Timberlake Consultants Terms and Conditions click here

Request Enrolment Form Now
Back to Public Attendance Courses

Top

Copyright of Timberlake Consultants Limited

Last Revised:10/2/2007