Instructors

Prof. David Veredas, Professor of Econometrics, ECARES, Free University of Brussels (ULB)

Kaveh Vakili, Assistant of Econometrics, ECARES, Free University of Brussels (ULB)

Overview
The course will focus on volatility. It will cover the following seven topics:

1. Refresher in basic econometric models and inference techniques (linear regression model, OLS, maximum likelihood and testing).
2. Basic concepts of time series (causality, exogeneity, white noise, martingale, etc).
3. The concept of volatility. What is volatility? How can we measure it?
4. Univariate GARCH models, which are probably the most used in finance.
5. Alternative volatility models, such as Realized Volatility, quantile-based estimators and Stochastic Volatility models.
6. Extension of the univariate GARCH models to the multivariate setting and using them for financial applications.
7. Analysis of volatility in the presence of jumps and macroeconomic news.

The course is fully practical.  Theoretical explanations are followed by individual hands-on exercises on the computer. Please bring your laptop. If you don't have EViews, we will install it on your laptop and will provide a temporary course license.

Schedule

Fees

The fee for the course is US$2,760. This includes course materials, lectures, computer labs, lunches, morning and afternoon coffee breaks, receptions. University students and staff get a discount of 25 percent of the above mentioned amount. Please include a photocopy of your student or staff card. You can pay by check, credit card (Visa, American Express, Diners Club, or MasterCard) or bank transfer.

Registration and Payment: For details please click here.