Training Calendar

Econometrics Financial Markets Trends in EViews - Co-Developed with Lancaster University

Online 2 days (1st May 2020 - 2nd May 2020) EViews, OxMetrics Intermediate, Introductory
Econometrics, Finance, Marketing, Various methods

Overview

This course is co-developed with Lancaster University.

At times of great uncertainty for financial markets, this course provides participants with an understanding of the time series methods involved in modelling and forecasting financial markets volatilities. Participants will learn how to build, estimate and assess alternative models of volatility of financial time series. Each concepts will be explained from an econometric perspective and by means of many examples and applications in Eviews or Oxmetrics

Co movements and correlation of financial returns help to explain crisis transmission in the markets , this course provides participants with an in depth understanding of multivariate GARCH models and their use in forecasting co movements and crisis transmission between financial markets.

Students are eligible for a subsidised place, find out how to apply here.

Course Agenda

This comprehensive webinar is hosted through Zoom and runs over a total of 9 hours, with 4 hours each day (2 in the morning and 2 in the afternoon) with an extra Q&A session on the second day.

Day 1

Session 1: Stylized facts of financial time series - 10:00-12:00 GMT

  • Descriptive stats and leverage effects, non-normal distribution, stationarity, long memory, volatility clustering. The ARCH test.

Session 2: GARCH models for volatilities - 14:00-16:00 GMT

  • GARCH, EGARCH, GJR. Estimation. Testing and Forecasting in Eviews and Oxmetrics. The ARMA-GARCH framework.

Day 2:

Session 1: Analysing the co-movements of financial returns - 10:00-12:00 GMT

  • MGARCH models advantages and challenges. Estimation , testing and Diagostics in Eviews.

Session 2: Structural breaks in financial markets - 14:00-16:00 GMT

  • What will happen after the COD-19 emergency? Make your own prediction with Eviews and Oxmetrics.

Q&A Session: 16:00-17:00 GMT

Prerequisites

  • Introductory knowledge of linear regression and time series econometrics.
  • A basic knowledge of EViews or Oxmetrics is helpful but not necessary.
  •  CommercialAcademicStudent
    1st - 2nd May (10-12 & 2-4pm GMT) (01/05/2020 - 02/05/2020)

All prices exclude VAT or local taxes where applicable.

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