ETW3481 · Financial modelling and analytics

Overview

This unit introduces you to a wide range of contemporary financial econometric techniques which are commonly employed in the financial data analysis. Topics covered include the random walk model, volatility and risk modelling, several symmetric and asymmetric univariate as well as multivariate volatility models. Also, this unit will expose you to applications of econometric analysis in the portfolio selection and volatility spillovers between markets and assets.

Offerings

Assessment

The Handbook does not list a final examination among the assessment items. That is not a guarantee there is none.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

Learning outcomes

1. analyse the properties and distributional characteristics of financial returns
2. recommend appropriate volatility model for financial return processes
3. assess critically the challenges and shortcomings of volatility models
4. forecast the financial variables and volatility using various econometric models
5. conduct heavy-tail analysis and examine various risk modelling techniques in financial markets.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.