Course ObjectiveTo learn to work with bad datasets of high-frequency trade data,
To learn to compute and understand realized volatility measures.
To learn to implement advanced time series models and to use these for
To learn to write a report on advanced methods and models.
To learn to give an oral presentation about the most important aspects.
To learn to work as a group.
Course ContentThe student uses high-frequency trade data to compute realized measures
of volatility. These daily measures of realized volatility are used to
estimate time series models - realized GARCH (realized Generalized
Autoregressive Conditional Heteroskedasticy) and realized GAS (realized
Generalized Autoregressive Score) - which are used for forecasting
future volatility. The performance of these advanced models is compared
with simpler models such as regular GARCH and GAS models. Financial risk
measures such as Value-at-Risk are also considered.
Teaching MethodsIntroductoty lecture, discussions per groups, plenary sessions of final
Method of AssessmentWritten report and oral presentation - group of students.
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. L.F. Hoogerheide|
|Examiner||dr. L.F. Hoogerheide|
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