Title: FINANCIAL ECONOMETRICS: MODELLING VOLATILITY AND CORRELATION
PROF THEODORE PANAGIOTIDIS

15-16 January 2025.

COURSE OUTLINE
This course will cover models for volatility, historical volatility, implied volatility models, autoregressive volatility, ARCH models, GARCH models, TGARCH models, EGARCH models, tests for asymmetries in volatility, GARCH in mean, volatility forecasting, stochastic volatility, multivariate GARCH models, BEKK, DCC, extension to the basic multivariate GARCH model. 
All the topics will be presented with examples from the Empirical Finance literature. The emphasis will be on both theoretical and applied work by using Gretl/EViews extensively.  A project on a topic chosen by students will be expected in the end of the course.

TOPICS COVERED

•    models for volatility, 
•    historical volatility, 
•    implied volatility models, 
•    autoregressive volatility, 
•    ARCH models, 
•    GARCH models, 
•    TGARCH models, 
•    EGARCH models, 
•    tests for asymmetries in volatility, 
•    GARCH in mean, 
•    volatility forecasting, 
•    stochastic volatility, 
•    multivariate GARCH models, BEKK, DCC, 
•    extension to the basic multivariate GARCH model.
•    Gretl in practice

Learning Outcomes
By the end of the course students will be familiar with financial econometric analysis. The emphasis will be both on theory and the applied part of the work. The econometric software gretl/EViews will be used and its functions will be demonstrated. By the end of the course students would be confident with volatility models, hypothesis testing and diagnostic tests.
 

ASSESSMENT
There will be coursework will be submitted in the end of the course. The submitted file will need to be a pdf file with a max number of words 3000. Details will be provided during the course. Submission to: panagiotidis@gmail.com

TEXTBOOKS
Notes will be distributed in the class.
Brooks C. (2019) Introductory Econometrics for Finance, Cambridge University Press.
Enders, W. (2014) Applied Econometric Time Series, Wiley.
Greene  W.H. (2008) Econometric Analysis, Pearson.
Hamilton J.D. (1994) Time Series Analysis, Princeton University Press.
Verbeek, M. (2017) A Guide to Modern Econometrics, Wiley.

Software:
http://gretl.sourceforge.net/
https://www.eviews.com/home.html