Financial Econometrics

By Prof. Md Zulquar Nain | Aligarh Muslim University

Learners enrolled: 706 | Exam registration: 57

ABOUT THE COURSE:This course is blend of both theoretical framework and practical applications and aims to provide understanding of the nature and characteristic of financial data to the students. the course introduces the basic concepts of financial systems and the econometric technique employed for analyzing, forecasting both return and volatility of financial assets.

The course covers wide range topics, including univariate and multivariate time series models such as ARIMA, ARCH, GARCH volatility models, event study analysis and value -at – risk Models. A unique feature of this course is integration of theoretical framework with practical implementation using R.

At the completion of the course, students will have skills necessary to model and interpret financial data, apply econometric techniques to understand the characteristics and behaviour of financial markets in a dynamic and data-driven context. This course is particularly suitable for students pursuing career in economics, business and financial analytics, risk management and quantitative research.

INTENDED AUDIENCE: Undergraduate and postgraduate level students with interest in economics and/or finance and/or management and/or commerce.

PREREQUISITES: 12^th Level Mathematics, Statistics and Economics

INDUSTRY SUPPORT:Banking and Financial Services industry (Banks, Investment firms, Mutual Fund Firms, Insurance firms, Equity and Investment research companies)

Summary

Course Status :	Ongoing
Course Type :	Elective
Language for course content :	English
Duration :	12 weeks
Category :	Economics
Credit Points :	4
Level :	Undergraduate/Postgraduate
Start Date :	20 Jan 2025
End Date :	11 Apr 2025
Enrollment Ends :	03 Feb 2025
Exam Registration Ends :	28 Feb 2025
Exam Date :	25 Apr 2025 IST

Note: This exam date is subject to change based on seat availability. You can check final exam date on your hall ticket.

Page Visits

Course layout

Week 1: Introduction to Financial Econometrics and Financial System.

Week 2: Introduction to Financial Variables, Time Value of Money, and R.

Week 3: Introduction to Linear Regression Model I.

Week 4: Introduction to Linear Regression Model II and Simultaneous Equations Model

Week 5: Introduction to Time Series Analysis

Week 6: Univariate Time Series Modelling

Week 7: Multivariate Time Series Modelling

Week 8: Asset Pricing Model: Efficient Market Hypothesis, Mean- Variance Portfolio Analyses

Week 9: Asset Pricing Models: Capital Asset Pricing Model, Multi- factor Model, Arbitrage Pricing Model (APT)

Week 10: Univariate Volatility Models: Historical, Implied, ARCH, GARCH volatility Models and its extensions

Week 11: Multivariate Volatility Models: GARCH Models and its extensions

Week 12: Event-Study Analysis and Value-at-Risk Models

Books and references

Campbell, J. Y., Lo, A. W. and MacKinlay, A. C. (1996), The Econometrics of Financial Markets
Chris Brooks, 2014, Introductory econometrics for finance, Cambridge University Press
Christian Gourieroux and Joann Jasiak, 2001, Financial Econometrics: Problems, Models, and Methods, Princeton University Press
Walter Enders, 2004, Applied Econometric Time Series, John Wiley and Sons
Luenberger, G David 1998, Investment Science, Oxford University press
Khan MY, 2018. Indian Financial System, McGrawHill Education

Instructor bio

Prof. Md Zulquar Nain

Aligarh Muslim University

Dr Md Zulquar Nain serves as an assistant professor in the department of economics Aligarh Muslim university Aligarh. He holds a BA (hons.) in economics from Aligarh Muslim university Aligarh and completed his postgraduate studies and PhD in economics from the university of Hyderabad.

With over a decade of teaching experience he has instructed undergraduate postgraduate and doctoral students in a wide range of courses including microeconomics econometrics quantitative methods and financial econometrics.

Dr Nain has published extensively in esteemed national and international journals his primary research increased lie in the areas of monetary economics financial economics the finance growth Nexus and macroeconomics.

Course certificate

The course is free to enroll and learn from. But if you want a certificate, you have to register and write the proctored exam conducted by us in person at any of the designated exam centres.

The exam is optional for a fee of Rs 1000/- (Rupees one thousand only).

Date and Time of Exams: April 25, 2025 Morning session 9am to 12 noon; Afternoon Session 2pm to 5pm.

Registration url: Announcements will be made when the registration form is open for registrations.

The online registration form has to be filled and the certification exam fee needs to be paid. More details will be made available when the exam registration form is published. If there are any changes, it will be mentioned then.

Please check the form for more details on the cities where the exams will be held, the conditions you agree to when you fill the form etc.

CRITERIA TO GET A CERTIFICATE

Average assignment score = 25% of average of best 8 assignments out of the total 12 assignments given in the course.

Exam score = 75% of the proctored certification exam score out of 100

Final score = Average assignment score + Exam score

Please note that assignments encompass all types (including quizzes, programming tasks, and essay submissions) available in the specific week.

YOU WILL BE ELIGIBLE FOR A CERTIFICATE ONLY IF AVERAGE ASSIGNMENT SCORE >=10/25 AND EXAM SCORE >= 30/75. If one of the 2 criteria is not met, you will not get the certificate even if the Final score >= 40/100.

Certificate will have your name, photograph and the score in the final exam with the breakup.It will have the logos of INI and AMU.

Only the e-certificate will be made available. Hard copies will not be dispatched.

Once again, thanks for your interest in our online courses and certification. Happy learning.

- INI team