Introduction

Financial econometrics using Stata is specifically designed to cater to individuals who are interested in applying econometric techniques to analyze financial data using Stata software.

Duration

10 Days

Who Should Attend?

• Researchers and analysts.
• Policy analysts and policymakers.
• Econometricians and statisticians.
• Financial Analysts.

COURSE LEVEL: Intermediate

Course Objectives

• Develop a solid understanding of financial econometrics: Participants will gain a comprehensive understanding of the principles and concepts underlying financial econometrics. This includes topics such as asset pricing models, volatility modeling, event studies, and risk management.
• Familiarize participants with Stata software: The course focuses on equipping participants with the necessary skills to effectively use Stata for financial econometric analysis. Participants will learn how to import, clean, manipulate, and analyze financial data using Stata's econometric functions and packages.
• Apply financial econometric models: Participants will learn how to apply various financial econometric models using Stata. This includes time series analysis, estimation of asset pricing models, conducting event studies, and implementing risk management strategies.
• Interpret and communicate results: The course emphasizes the interpretation and communication of econometric results. Participants will learn how to effectively interpret the output from Stata and communicate their findings in a clear and concise manner.
• Enhance quantitative skills: The course aims to enhance participants' quantitative skills by providing them with the necessary tools and techniques to analyze financial data. Participants will gain a deeper understanding of statistical concepts and econometric methods commonly used in financial research.
• Practical application: The course focuses on practical application by providing hands-on exercises and real-world examples. Participants will have the opportunity to apply the learned techniques to analyze financial data and solve real-world problems.

Course outline

Module 1: Introduction To Financial Econometrics

• Overview of financial econometrics.
• Introduction to key concepts and techniques.
• Understanding the role of Stata in financial econometrics.

Module 2: Financial Data Management In Stata

• Importing and organizing financial data in Stata.
• Handling missing data and outliers.
• Data cleaning and preprocessing techniques.

Module 3: Descriptive Statistics And Data Visualization

• Calculation and interpretation of descriptive statistics.
• Exploratory data analysis using Stata.
• Visualization techniques for financial data.

Module 4: Time Series Analysis In Stata

• Introduction to time series analysis.
• Estimation and forecasting of financial time series.
• Stata commands for time series analysis.

Module 5: Asset Pricing Models

• Overview of asset pricing models.
• Estimating and testing asset pricing models in Stata.
• Portfolio optimization techniques.

Module 6: Volatility Modeling

• Introduction to volatility modeling.
• GARCH models and their extensions in Stata.
• Volatility forecasting and risk management.

Module 7: Event Studies And Market Microstructure Analysis

• Event study methodology using Stata.
• Market microstructure analysis and its applications.
• Stata tools for event studies and market microstructure analysis.

Module 8: Advanced Topics In Financial Econometrics

• Advanced techniques in financial econometrics using Stata.
• Panel data analysis for financial data.
• Empirical research using Stata in financial econometrics.

Course Administration Details:

METHODOLOGY

The instructor led trainings are delivered using a blended learning approach and comprise of presentations, guided sessions of practical exercise, web-based tutorials and group work. Our facilitators are seasoned industry experts with years of experience, working as professional and trainers in these fields.

All facilitation and course materials will be offered in English. The participants should be reasonably proficient in English.

ACCREDITATION

Upon successful completion of this training, participants will be issued with an Indepth Research Institute (IRES) certificate certified by the National Industrial Training Authority (NITA).

TRAINING VENUE

The training will be held at IRES Training Centre. The course fee covers the course tuition, training materials, two break refreshments and lunch.

All participants will additionally cater for their, travel expenses, visa application, insurance, and other personal expenses.

ACCOMMODATION AND AIRPORT PICKUP

Accommodation and airport pickup are arranged upon request. For reservations contact the Training Officer.

Email:[email protected]/[email protected]

Mob: +254 715 077 817/+250789621067

TAILOR- MADE

This training can also be customized to suit the needs of your institution upon request. You can have it delivered in our IRES Training Centre or at a convenient location.

For further inquiries, please contact us on Tel: +254 715 077 817/+250789621067

Mob: +254 792516000, +254 792516010 , +250 789621067 ,or mail [email protected]/[email protected]

PAYMENT

Payment should be transferred to IRES account through bank on or before start of the course.

Send proof of payment to [email protected]/[email protected]

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