Basic concepts related to Financial modelling

Financial modelling basic concepts

1. Advanced Econometrics Name of the Faculty : Dr. Baiju P Department : Economics Course Code : MCF204C23 Course Title: Financial Modelling Class : MCom FA

2. What is econometrics

3. Course outline Unit 1: Introduction and Foundation of Econometric Modelling Nature , meaning and scope of econometrics, Types of Data in Econometrics, Popular software’s for econometric analysis, Basics of Econometric Modeling, Bivariate Econometric Modeling, Trivariate Econometric Modeling, Multivariate Econometric Modeling: Heteroscedasticity, Multicollinearity and Auto-Correlation and Concepts of R2 and adjusted R2. 07/08/2023 Advanced Econometrics Baiju P

4. Unit 2: Regressions with Qualitative Independent Variables Dummy variable technique - Testing structural stability of regression models comparing to regressions, interaction effects, seasonal analysis, piecewise linear regression; use of dummy variables- regression with dummy dependent variables; The LPM, Logit, Probit and Tobit models - Applications using Gretl 07/08/2023 Advanced Econometrics Baiju P

5. Unit 3: Time Series Analysis Basics of Time series, measurement of trend, seasonality and cycles – moving averages and smoothing techniques to time series analysis; stochastic and stationary process – tests of stationary – Dickey-Fuller and augmented Dickey-Fuller tests. Cointegration Test & Causality Test- using Gretl 07/08/2023 Advanced Econometrics Baiju P

6. Unit 4: Univariate time series analysis Univariate time series analysis and forecasting – linear time series analysis – autocorrelation function and partial auto-correlation function – auto-regressive (AR) models, moving average (MA) models, Box-Jenkins (BJ) ARMA and ARIMA models – identification – estimation and forecasting with ARIMA models – economic applications using Gretl . 07/08/2023 Advanced Econometrics Baiju P

7. Unit 5: Multivariate time series analysis Vector autoregressive (VAR) models – advantages and problems –– estimation and forecasting with VAR; Modeling volatility and auto-correlation in time series - auto-regressive conditional hetroscdasticity (ARCH) model – generalized ARCH model – using Gretl 07/08/2023 Advanced Econometrics Baiju P

8. References Gujarati, D. N. (2022).  Basic econometrics . Prentice Hall. Wooldridge , J. M. (2015).  Introductory econometrics: A modern approach . Cengage learning . Studenmund , A. H. (2014).  Using econometrics a practical guide . Pearson education limited. 07/08/2023 Advanced Econometrics Baiju P