Financial Time Series Volatility Modelling and Analysis
Date:
01/09/2014
Organised by:
Royal Statistical Society
Presenter:
Dr Tony Lawrance
Level:
Intermediate (some prior knowledge)
Contact:
Paul Gentry, 020 7614 3918, conference@rss.org.uk
Map:
View in Google Maps (S1 2JA)
Venue:
Sheffield City Hall, Barker's Pool, Sheffield, South Yorkshire
Description:
The course will focus on the modelling and graphical analysis of volatility in financial time series. The opening notion is the idea of Engle that the traditional IID constant variance specification in a time series model should be replaced by a conditional variance specification involving past values of the series. The so-called ARCH, GARCH and SV models have this property, and their presentation will cover their intuitive mathematical development as well as illustrative simulations and financial applications using available software packages, such as ITSM, eViews and G@RCH. The statistical analysis of volatility will be covered by methodology which aims to non-parametrically and graphically reveal possible empirical forms of the volatility function. There will then be particular emphasis on models which have empirically agreeable forms of volatility function. Whilst most of the material is concerned with individual time series, multi-series extensions will be treated, but more briefly.
A background knowledge in traditional linear time series in the ‘Box & Jenkins’ style and general statistical ideas will be assumed.
Cost:
£168-£408 depending on membership status and date of registration
Website and registration:
Region:
Yorkshire and Humberside
Keywords:
Time Series Analysis
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