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.
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