Prof. Vesna Bucevska,PhD
Course objectives (competences):
After completing the course and passing this course, students should be able to:
• Implement Generalized Autoregressive Conditionally Heteroscedastic Models (GARCH Models) and Stochastic Volatility Models to represent the dynamic uncertainty behavior;
· Implement multivariate GARCH models;
• Evaluate time-varying correlations between financial returns;
• Use econometric models to test different financial hypotheses and models, such as testing market efficiency, evaluating the risk of an individual share by calculating its Value at Risk.
The course covers the core areas of the fast-growing scientific discipline – financial econometrics, as interest in modeling uncertainty associated with financial time series has increased in recent decades. The uncertainty of financial returns plays a key role in financial models for efficient financial allocation and risk management. The purpose of the course is to explain the characteristics of major econometric models commonly used in financial market analysis and to equip students for independent econometric research in the area of financial markets. The lectures are delivered in a computer lab using the EViews software package.