Measuring and Forecasting Volatility with OxMetrics™

TBA

Centre for Econometric 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 two-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.

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

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 is an Associate 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). In 2008 he has been visiting professor in Financial Econometrics at the London School of Economics.

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
£1,000.00+VAT=£1,175.00
£900+VAT=£1,057.50
Academic
£900.00+VAT=£1,057.50
£850+VAT=£998.75
Student
£300.00+VAT=£352.50
N/A

Discounts

  • Early registrations 5% discount (registrations done at least 1 calendar month prior to the start of the course. In addition:
    • 10% discount for those attending 2 OxMetrics courses in 2008 (this includes the OxMetrics User Conference)
    • 25% discount for those attending 3+ OxMetrics courses in 2008
    • an additional 10% discount for holders of the OxMetrics Enterprise Edition

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.

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Agenda
(subject to minor changes)

Day 1: Registration starts at 9H30. Course starts at 10H00 and ends at 17H00.

Testing for return predictability and introduction to univariate ARCH Models

  • Test of the random walk hypothesis :
    • 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 5.1: data entry and management.
  • Empirical Illustrations using daily returns (stocks, indexes and exchange rates).
  • Variance-ratio test, runs test, etc.
  • 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.
  • Monte-Carlo simulations.


Day 2: Course starts at 9H00 and ends at 17H00.

Multivariate GARCH Models.

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.).

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