STA5065Z - Financial Econometrics

15 credits at NQF level 9

Entry Requirements:

Acceptance into Master’s programs in Advanced Analytics or Data Science and/ or statistical background deemed sufficient by the Head of Department.

Course Outline:

This course examines from an advanced econometric and quantitative perspective the following key areas : Market efficiency in macro-economic markets including the JSE, bond market and short-term interest rate markets; Characteristics of the JSE and its sectors; appropriate return transformations, the notion of company specific, sector specific and market wide effects; Special focus on the R$ exchange rate; its effect on local markets (JSE and bond); causes of changes and modelling the impact on inflation; Technical modelling of bond market (Nelson-Siegel parameterisation) and the share market (Black Scholes; derivatives). The course may not be offered every year.