ETF5930 - Financial econometrics - 2018

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.


Business and Economics

Organisational Unit

Department of Econometrics and Business Statistics

Chief examiner(s)

Dr Hsein Kew


Dr Hsein Kew

Unit guides



  • First semester 2018 (Evening)


Students must have passed BFF5925 or equivalent or be enrolled in course B6003.


ETC3460, ETC5346, ETF3300, ETF9300


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; and conducting Granger causality testing. It also includes modelling and estimation of ARCH/GARCH volatilities and time-varying risk premium on financial assets; and estimation of value-at-risks and expected shortfalls of assets and portfolios. Students will be requested to work through a number of questions and projects with a broad range of financial data sets.


The learning goals associated with this unit are 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 the volatility in financial data and perform value-at-risk calculations that are used as an input into the financial decision making process
  6. be proficient at econometric modelling of financial data using the software EVIEWS, which is widely used in the commercial world.


Within semester assessment: 40% + Examination: 60%

Workload requirements

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.

See also Unit timetable information