Training on Modeling and Forecasting Financial Markets
The application of econometrics in finance is a major development in the financial markets and provides a breakthrough in modeling of financial applications. Volatility, for example, is perhaps the most important feature of financial market. Accurate estimates of the volatility are essential for successful risk management. The use of nonlinear time series structures such as the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) has been found to be successful in modeling the attitude of investors towards risk and expected returns.
The aim of this series of modules is to explain the different theories and techniques in forecasting financial time series. The modules include the following topics:
Module 1 (4 days) - Univariate Time Series Analysis and its Application to Finance
Topics include:
1. AutoRegressive Moving Average (ARMA) Models for asset returns
2. Generalized AutoRegressive Conditional Heteroskedasticity Models
(and other variants) for volatility of asset returns
3. GARCH in Mean Models to test Risk-Return Trade-off
4. Value at Risk (VaR) Estimation using RiskMetrics Approach and Econometric Models
5. Backtesting in VaR using Likelihood Tests
6. Extreme Value Theory (EVT) Approach to VaR
Schedule: September 27-30, 2010 (8:30 am to 5:00 pm)
Venue: School of Statistics Computing Laboratory, University of the Philippines - Diliman
Seminar Fee: Php 10,000.00 per participant (Local)
US$1000 per participant (Foreign)
Download Registration Form
Module 2 (4 days) - Multivariate Time Series Models
Topics include:
1. Unit Root Econometrics
2. Co-Integration and Error Correction Models
3. Regression Analysis with ARMA errors
4. Vector AutoRegressive (VAR) and Vector-Error Correction (VEC) Models
5. Multivariate Volatility Models (Multivariate GARCH)
Schedule: December 6-9, 2010 (8:30 am to 5:00 pm)
Venue: School of Statistics Computing Laboratory, University of the Philippines - Diliman
Seminar Fee: Php 10,000.00 per participant (Local)
US$1000 per participant (Foreign)
The modules will provide the participants with the necessary background in modern time series models and the relevant theory behind them. The various topics will be discussed using a combination of lectures (in the morning) and hands-on computing workshops (in the afternoon).
Who Should Attend:
Participants involved in:
a. Industry Forecasting
b. Risk Management
c. Derivatives
d. Credit, Equity and FX asset class will find the materials useful and relevant.
Participants are expected to have some statistical (regression) and computational skills (knowledge of EXCEL). The software that will be used are EVIEWS© and R.
Quantitative Analysis of Cross-Section and Panel Data
These two modules are the counterparts of the Time Series Analysis modules and aimed for those who are studying cross section and panel data. The objectives of these modules are for participants to learn and apply the different multivariate techniques commonly used in analyzing cross-section and panel data and for the participants to extract useful information for strategy and policy formulation.
Module 3 (4 days) - Quantitative Analysis of Cross-Section Data
Topics include:
1. Regression Models
2. Instrumental Variables (IV) Models and the Two-Staged Least Squares (2SLS)
3. Discrete Response Variable Models (Logit, Probit, Ordered Logit and Multinomial Logit)
4. Applications of Models using Cross-Section Data
Schedule: October 26 to 29, 2010 (8:30 am to 5:00 pm)
Venue: School of Statistics Computing Laboratory, University of the Philippines - Diliman
Seminar Fee: Php 10,000.00 per participant (Local)
US$1000 per participant (Foreign)
Download Registration Form
Module 4 (4 days) - Quantitative Analysis of Pooled and Panel Data
Topics include:
1. Pooled Cross Section Models
2. Difference-in-Difference (DID) Model
3. Models for Panel Data (Fixed Effects and Random Effects Models)
4. Applications of Models using Pooled and Panel Data
Schedule: November 22 to 25 (8:30 am to 5:00 pm)
Venue: University Hotel, Guerrero St., cor. Aglipay, UP Campus, Diliman, Quezon City
Seminar Fee: Php 10,000.00 per participant (Local)
US$1000 per participant (Foreign)
Download Registration Form
The target group of the short courses is those who work with cross-sectional or panel data from household or individual surveys: researchers (e.g. market research agencies), government workers (e.g. from DBM, DSWD, DOH, NEDA), members of the academic community, private institutions and Non-Government Organizations (NGOs) who work with social survey data and analyze them or researchers who are interested in statistical analysis of real data for policy formulation and evaluation.
During the hands-on sessions, the participant will have opportunities to analyze real data using STATA for various interesting issues such as studying the determinants of wage, savings, fertility and poverty. The data are selected mostly from those used for actual research projects. For example, we analyze data using the Family Income and Expenditure Survey (FIES) and the National Demographic and Health Survey (NDHS).
Participants are expected to have some statistical (regression) and computational skills (knowledge of EXCEL). The software that will be used are STATA© or SPSS©.
For additional information pertaining to the seminar, please contact Ms. Jennifer Castillo or Ms. Stephanie Rae Andres of the PSA Secretariat at telephone number (632) 920-6513 or telefax number (632) 456-1928 or at email address psa.sec@gmail.com. You may also call Ms. Nancy Angala of the UP School of Statistics at telephone numbers 928-0881.
Principal Lecturers:
Dr. Dennis S. Mapa is currently an Associate Professor in Statistics and Director for Research at the School of Statistics, University of the Philippines in Diliman, Quezon City. He also served as an affiliate Associate Professor at the School of Economics, UP Diliman. He finished his Bachelor of Science degree in Statistics in 1990 and completed two Master’s degrees: in Economics (2002) and in Statistics (2004) and his Ph.D in Economics in 2008, all from the University of the Philippines. In 2008, he received the Outstanding Young Scientist (OYS) Award from the National Academy of Science and Technology (NAST) for his research contribution in the areas of Financial Econometrics and Empirical Economic Growth analysis. He teaches time series analysis and econometrics in the undergraduate and graduate programs of the School of Statistics and School of Economics of the University of the Philippines. His research interests are in the areas of Econometric Analysis, Financial Time Series Analysis and Empirical Economic Growth and Poverty Analysis. He has published several papers in financial econometrics in both national and international academic journals and has also presented papers related to financial time series and econometrics at international conferences. He also served as training specialist in Statistics and Econometrics at the Bangko Sentral ng Pilipinas (BSP).
Dr. Lisa Grace S. Bersales is the Bangko Sentral ng Pilipinas (BSP) Sterling Professor in Statistics and former dean of the University of the Philippines’ School of Statistics. She earned her Ph.D. in Statistics from the University of the Philippines-Diliman. Her dissertation is entitled “Optimal Combination of Forecasts” which she wrote under the guidance of Dr. Roberto S. Mariano (Former Professor at the University of Pennsylvania and now Dean of the School of Economics at the Singapore Management University). She has been a visiting researcher at the University of Pennsylvania, Statistics Canada and the National University of Singapore. Her main research interest is in the area of Time Series Analysis and her most recent studies are in Saving Behavior of Philippine Households, Seasonal Adjustment of Philippine Time Series and the enhancement of the Philippine Leading Economic Indicators. She serves as training specialist for Statistics and Econometrics at the Bangko Sentral ng Pilipinas (BSP). She is a research fellow at the Institute for Development and Econometric Analysis (IDEA) and the Asia-Pacific Policy Center (APPC). She is a member of the International Statistical Institute and the Philippine Statistical Association. She also served as training specialist in Statistics and Econometrics at the Bangko Sentral ng Pilipinas (BSP).
