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◄Faculty of Business and Economics►

AA037012 APPLIED FINANCIAL ECONOMETRICS
3 Credits

Course Learning At the end of this course, students are able to:
Outcomes
(1) Analyse returns to financial assets and construct
indices as measures of stock market performance;
(2) Estimate financial models including time-varying
volatility models using appropriate software;
(3) Determine the adequacy of estimated econometric-
time series models in the area of finance; and
(4) Construct valid conclusions from the results of
estimation and hypothesis testing.

Synopsis of Course The course introduces the methods of construction of stock
Contents market indices, computation of returns with adjustment for
capital changes and estimation of betas. Tests of market
efficiency and estimation of selected financial models are
discussed. The capital asset pricing model is applied for
analyzing the ability of market timing and stock selectivity.
Calendar anomalies and methods for modelling volatility in
financial data, such as ARCH & GARCH, are discussed.
Subsequently, the estimation of Value-at-Risk for portfolio
and stock returns and Risk metrics are discussed. Lastly,
various Multivariate GARCH models are discussed.

Assessment Weightage Continuous Assessment: 60%
Final Examination: 40%

Medium of Instruction English

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