ABOUT THE COURSE:This course is meant to prepare students to understand the nature and characteristics of financial data. The course is designed to cover the basics of financial markets & instruments and econometric: techniques used for forecasting, pricing, and volatility behaviour models of financial assets. The course covers topics such as univariate and multivariate time series forecasting models, capital asset pricing models, univariate and multivariate volatility models, event study analysis and Value-at-Risk models.INTENDED AUDIENCE: Undergraduate and postgraduate level students wit interest in economics and/or finance and/or management.PREREQUISITES: 12th Level Mathematics, Statistics and EconomicsINDUSTRY SUPPORT: Banking and Financial Services industry (Banks, Investment firms, Mutual Fund Firms, Insurance firms, Equity and Investment research companies)
Overview
Syllabus
Week 1: Introduction to Financial Econometrics; financial data and its characteristics.Week 2:Introduction to Financial System, Financial Markets, and Instruments.Week 3:Introduction to Time Series and concept of non-stationarity.Week 4:Univariate Time Series Modelling and Forecasting for finance: Auto-Regressive and Moving Average ModelsWeek 5:Multivariate Time Series Modelling and Forecasting for finance: Vector Autoregressive Models, Impulse Response: and Variance Decomposition AnalysesWeek 6:Asset Pricing Models: Efficient Market Hypothesis, Mean- Variance Portfolio AnalysesWeek 7:Asset Pricing Models: Capital Asset Pricing Model, Multi- factor Model, Arbitrage Pricing Model (APT)Week 8:Univariate Volatility Models: Historical volatility Model, Implied Volatility Model, Exponentially Weighted Moving Average Model (EWMA)Week 9:Univariate Volatility Models: ARCH, GARCH and its extensionsWeek 10:Multivariate Volatility Models: GARCH Models and its extensionsWeek 11:Event-Study Analyses, Value-at-Risk ModelsWeek 12:Case Studies
Taught by
Prof. Md Zulquar Nain
