Project on EViews – VAR Modeling

Understanding Econometrics Modelling concepts pertaining to Finance and Financial markets by applying concepts of Volatility Modelling & Autoregressive Conditional Heteroscedasticity

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 2h 4m | 20 Videos | 63326 Views |   Expert| English[Auto-generated]

Advanced EViews #4 – Vector Autoregressive (Var) Modelling:

Eviews – Econometrics modelling course aims to provide quantitative/econometrics modelling skills typically/specifically in Finance sector. Quantitative methods and predictive modelling concepts could be extensively used in understanding the financial markets movements, and studying tests and effects. The course picks theoretical and practical datasets for econometrics/quantitative/predictive analysis. Implementations are done using Eviews software. The course employs wide variety of examples and datasets ranging from stock prices from BSE Sensex, mutual funds NAV’s, foreign exchange datasets for Pound Sterling, Swiss Franc, Australian Dollar, and commodities such as Gas, and Gold, and futures prices of Singapore Nifty

This course discusses VAR modelling technique, its advantages and disadvantages, and subsequent steps on generating block significance, impulse response tests, and variance decomposition tests for VAR modelling, and interpretation of its estimation outputs. The course also discusses the Granger causality lag execution steps. All the discussed steps and VAR modelling technique are thereafter implemented using Eviews on examples.

The training will include the following:

• VAR modelling theory and understanding VAR estimates
• Generating VAR estimates, block significance, impulse response tests, variance decomposition and lag exclusion tests, Granger causality tests
• Analysis and interpretation of VAR modelling estimates and related tests
• Examples

Target Customers:

• This course is clearly focused on FINANCE sector typically financial markets, commodities and forex markets and therefore, the list of professionals bulleted below should be able to make the best use of it
• Students
• Quantitative and Econometrics Modellers, Financial markets professionals
  CFA’s and Equity Research professionals

Pre-Requisites:

• Detailed in course description below, prior knowledge of Quantitative Methods AND Econometrics techniques, MS Office and Paint is desired.
• Essential skillsets – Prior knowledge of Quantitative methods and MS Office, Paint
• Desired skillsets — Understanding of Data Analysis and VBA toolpack in MS Excel will be useful
• The course works across multiple software packages such as Eviews, MS Office, PDF writers, and Paint. Furthermore, the course is distributed across sub-courses details of which are bulleted below, with brief description.

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