FINANCIAL ECONOMETRICS - 2021/2
Module code: ECOM031
In light of the Covid-19 pandemic, and in a departure from previous academic years and previously published information, the University has had to change the delivery (and in some cases the content) of its programmes, together with certain University services and facilities for the academic year 2020/21.
These changes include the implementation of a hybrid teaching approach during 2020/21. Detailed information on all changes is available at: https://www.surrey.ac.uk/coronavirus/course-changes. This webpage sets out information relating to general University changes, and will also direct you to consider additional specific information relating to your chosen programme.
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Introduction to modern econometric techniques used in the analysis of financial time series. Topics include ARIMA models, ARCH & GARCH and Stochastic Volatility models, estimating and testing the CAPM, fractional integration and nonlinear models.
RISPOLI Luciano (Economics)
Number of Credits: 15
ECTS Credits: 7.5
Framework: FHEQ Level 7
JACs code: L140
Module cap (Maximum number of students): N/A
Prerequisites / Co-requisites
Indicative content includes:
- Asset return processes: stationarity, random walks, tests for unit roots
- Conditional volatility: ARCH, GARCH, GARCH-M and E-GARCH models
- Stochastic volatility models
- Estimating and testing the Capital Asset Pricing Model
- Long term memory and fractional integration in stock market returns
- Non-linear models including SETAR, STAR, Markov models of regime switching
|Assessment type||Unit of assessment||Weighting|
|School-timetabled exam/test||Class test (1 hour)||25|
|Examination||EXAMINATION - 2 HOURS||75|
The assessment strategy is designed to provide students with the opportunity to demonstrate
- knowledge of different econometric techniques used with financial data series
- the practical ability to build and assess appropriate econometric models using actual data
Thus, the summative assessment for this module consists of:
- A class test (1 hour) in week 8
- A two-hour examination covering the econometric techniques discussed in the lectures, scheduled in weeks 13-15.
Formative assessment and feedback
Classes to provide verbal feedback on the exercises which teach the use of software to build models of financial data series and help prepare students for the coursework.
- examine a variety of econometric techniques developed to analyse financial data series and use appropriate software to apply these techniques to estimate models of actual financial data
|1||Understand and critically evaluate models of asset return processes||C|
|2||Build models of ARCH and GARCH processes using appropriate software||PT|
|3||Analyse dynamic models with changing regimes||C|
|4||Estimate and test models of financial data using appropriate computer software||PT|
C - Cognitive/analytical
K - Subject knowledge
T - Transferable skills
P - Professional/Practical skills
Overall student workload
Independent Study Hours: 128
Lecture Hours: 22
Seminar Hours: 11
Methods of Teaching / Learning
The learning and teaching strategy is designed to:
The lectures provide an understanding of a variety of econometric techniques used in modelling the characteristic features of financial data series. The classes give experience in applying appropriate software to estimate and critically assess different models of financial data series.
The learning and teaching methods include:
- 1 hour lecture per week x 11 weeks
- 1 hour class per week x 11 weeks
Indicated Lecture Hours (which may also include seminars, tutorials, workshops and other contact time) are approximate and may include in-class tests where one or more of these are an assessment on the module. In-class tests are scheduled/organised separately to taught content and will be published on to student personal timetables, where they apply to taken modules, as soon as they are finalised by central administration. This will usually be after the initial publication of the teaching timetable for the relevant semester.
Reading list for FINANCIAL ECONOMETRICS : http://aspire.surrey.ac.uk/modules/ecom031
Please note that the information detailed within this record is accurate at the time of publishing and may be subject to change. This record contains information for the most up to date version of the programme / module for the 2021/2 academic year.