DOCENTE: GIOVANNI URGA CODICE CORSO: D-EF37-OL LINGUA:

Modelling Volatility and Contagion in Finance

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Modelling Volatility and Contagion in Finance course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for the analysis of risk in financial markets. To this end, the course focuses on the modelling and forecasting of financial time series of asset returns; the modelling of cross market correlations, volatility spillovers and contagion in financial asset markets. During the course, a number of alternative GARCH models and models of conditional correlations will be reviewed.

 

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data. At the end of the course, participants are expected to be able to autonomously implement the theories and methodologies discussed in the course.

The course is of particular interest to: i) Master and Ph.D. Students and Researchers in public and private research centres, and ii) professionals employed in risk management in the following sectors: asset management, exchange rate and market risk analysis, front office and research in investment banking and insurance, needing to acquire the necessary econometric/statistical toolset to independently conduct an empirical analysis of financial risk.

Participants should have a knowledge of the inferential statistics and introductory econometric methods illustrated in Brooks (2019).

SESSION I: VOLATILITY MODELS – GARCH

Analysis of financial time series features:

Stationarity

Autocorrelation

Conditional heteroscedasticity

Modelling and forecasting asset returns volatility with univariate ARCH and GARCH models:

ARCH, GARCH, GARCH-in-mean

Integrated GARCH

RiskMetrics

Modelling asymmetric shock impacts on volatility with
asymmetric GARCH models:

SAARCH

EGARCH

GJR

TGARCH

APARCH

News Impact Curve

 

SESSION II: MULTIVARIATE VOLATILITY (MGARCH) MODELS AND CONTAGION

Multivariate GARCH models:

Diagonal VECH (DVECH)

Constant Conditional Correlation (CCC)

Dynamic Conditional Correlation (DCC) models

Assessing contagion in financial markets:

Measuring cross-market correlation coefficients

Higher moments contagion

Estimating Markov switching regressions

Empirical applications:

Forecasting volatility and correlations in financial
markets

Contagion between markets

 

COURSE REFERENCES 

Introductory Econometrics for Finance. Brooks, C., (2019). Cambridge University Press, 4th edition.
Financial Econometrics Using Stata. Boffelli, S., and G. Urga (2016). Stata Press Publication.

Due to the current Public Health situation, the 2020 edition of this training Course will be offered ONLINE on a part-time basis. The course program has therefore been restructured into two, three hour, sessions which will be offered on the 31st August and 1st September 2020 at the following times:

 

Time Zone (1) from 8.00 am to 11.30 am CEST

Time Zone (2) from 3.00 pm – 6.30 pm CEST

 

in order to facilitate participation for our clients based in both Europe/Middle East and North and South America.

Full-time Students*: € 355.00

University: € 505.00

Commercial: € 675.00

 

*To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.

 

Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.

 

The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled.

 

Course fees cover: course materials (handouts, Stata do files and datasets to be used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course.

 

Individuals interested in attending the training course should contact TStat Training to ask for a registration form. The completed application should then be returned to TStat by 11th August 2020.


L’iscrizione al corso dovrà avvenire tramite lo specifico modulo di registrazione e pervenire a TStat S.r.l. almeno 15 giorni prima dell’inizio del corso stesso. E’ possibile richiedere il modulo di registrazione compilando il seguente form oppure inviando una mail a formazione@tstat.it


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The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Modelling Volatility and Contagion in Finance course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for the analysis of risk in financial markets. To this end, the course focuses on the modelling and forecasting of financial time series of asset returns; the modelling of cross market correlations, volatility spillovers and contagion in financial asset markets. During the course, a number of alternative GARCH models and models of conditional correlations will be reviewed.