ETF5930 Financial econometrics
Faculty of Business and Economics
ETF5930 Financial econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2021 in Semester 1 at Caulfield. It needs BFC5925 and unlocks 3 units, leading on to 5 units in all.
- Credit points
- 6
- Offered in 2021
- Semester 1
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2021 handbook entry. See the 2027 entry.
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Requisites
Before ETF5930
Prohibitions
You can't enrol if you have passed any of these.
Prerequisites
Pass these before you enrol.
After ETF5930
3 units list ETF5930 as a prerequisite or corequisite.
Enrolment rules
If you are enrolled in course B6003, there are no prerequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit covers statistics econometrics tools to analyse and model the key characteristics of empirical distributions of asset returns, model and estimate the simple capital asset pricing model and its extensions, and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationary and non-stationary financial data, and modelling and estimating simple and multivariate long-run relationships among financial variables. It also includes modelling and estimation of ARCH/GARCH volatilities, single-factor and multiple-factor capital asset pricing models. You will be requested to work through a number of questions and projects with a broad range of financial data sets.
Offerings in 2021
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Caulfield | Evening |
Assessment
- Within semester assessment40%
- Examination60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
describe, interpret and critically analyse financial data
- 2
apply the simple and multivariate models and theory to model the relationship among financial variables, interpret the results, and conduct reliable statistical inference
- 3
test for stationary behaviour of financial time series
- 4
model the long-run relationships among financial time series
- 5
model and forecast the time-varying volatility of returns on financial assets
- 6
be proficient at econometric modelling of financial data using the software EViews, which is widely used in the commercial world.
Workload and teaching
- Lectures24 hours
- Laboratories12 hours
- Teaching approachActive learning
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
Learning resources
Required resources
EVIEWS software which is available in the Faculty network.
Contacts
- Chief Examiners
- Dr Hsein Kew
Common questions
What are the prerequisites for ETF5930?
You need BFC5925 before you enrol. Enrolment rules also apply.
What can I take after ETF5930?
ETF5930 is a prerequisite or corequisite for 3 units, including BFC5380, ETC5460 and ETF5231. Those lead on to 5 units in all.
When is ETF5930 offered?
In 2021, ETF5930 runs in Semester 1 at Caulfield.
How much work is ETF5930?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETF5930 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.