Financial markets and others generate vast amounts of data on asset returns, their volatility, and other financial variables in long and high-frequency time series. The ability to analyze market behaviour requires knowledge of the properties of time series and appropriate estimation methods. Since the early 1980s techniques for analyzing time series, which exhibit auto-regression, have yielded important studies of financial markets, increasing our knowledge of financial variables’ volatility.
EViews on the other hand is a simple, interactive econometrics package which proves many tools used in econometrics. It provides users with many convenient ways of performing analysis including a Windows and a command line interfaces. Many operations that can be implemented using menus may also be entered into the command window, or placed in programs for batch processing. The possibility of using interactive features like windows, buttons and menus makes EViews a user-friendly software.
The main benefits of this course can be summarized as follows:
- To equip participants with the most important empirical and practical implications of financial econometrics which can lead to a more specific research;
- To endow the participants with an econometric toolbox for the analysis of financial data;
- To equip the participants with a profound knowledge of data handling and programming skills in EViews.
- To enable participants to understand the principles of autoregressive time series models and evaluate their ability to forecast financial variables;
- To enable participants to understand and effectively apply the principles of maximum likelihood, and use maximum likelihood estimation and hypothesis testing;
- To enable participants to understand ARCH and GARCH models and be able to apply them to financial time series which display volatility clustering and asymmetry;
- To equip participants with the skills to estimate Vector Autoregressive (VAR) models and interpret the results.