SVKM’s

NARSEE MONJEE INSTITUTE OF MANAGEMENT STUDIES

POST GRADUATE DIPLOMA IN MANAGEMENT
Program: PGDM Trimester: IV
Course: Financial Analytics Code:
Teaching Scheme Evaluation Scheme
Classroom Practical/ Tutorials Credit Continuous Term End Examination
Session Group work Evaluation (TEE)
20 0 0 3 50% 50%
Course Rationale:
The course has been designed with the following rationale:
Recent years have witnessed a growing need for econometric methods in financial research and practice. As a
result, Eviews/ econometric methods in finance has become one of the most active areas of research. This
course intends to cover econometric techniques that are required for empirical finance, with an emphasis on
Time Series Analysis. Having, predominantly, an applied focus, it attempts to balance between derivations of
basic theoretical relations (basic minimum), fundamental methodology, the analysis of specific financial
econometric models, and applications thereof. Along with that, it will discuss the significant empirical
findings.

Course Objectives:
The course has been offered by the Instructor to satisfy the following objectives:
1. To understand how financial analytics can help Finance professionals.
2. To apply comprehensive knowledge to do empirical work in financial research and practice.

Learning Outcomes:
At the end of the course, a student shall:
1. Understand working knowledge of Financial Time Series data.
2. Use Know how to access data sources and prepare data for econometric analysis.
3. Apply basic programming using the statistical software package Eviews/R/STATA.
4. Apply econometric concepts and techniques in professional assignments to real financial data.

Prerequisite(s):
 Quantitative Methods
 Investment Analysis & Portfolio Management

Pedagogy:
 The study plan comprises a mix of readings, classroom sessions, and hands-on sessions using Eviews/R /
STATA, project Presentation, live projects and assignments.

Textbook:
 Introductory Econometrics for Finance, 3e, Brooks, C., Cambridge University Press, 2014
 Basic Econometrics, 5e, Gujarati, N. D., Porter, D. &Gunasekar, S., McGraw Hill Publication, 2012

Reference Books:
 Introductory Time Series with R. Springer Science & Business Media, Cowpertwait, P. S., & Metcalfe, A.
V. , 2009 [CM]
 Applied Econometrics with R. Springer Science & Business Media, Kleiber, C., & Zeileis, A., 2008 [KZ]

Journals:
 Journal of Quantitative Finance

Links to websites:
 https://www.mcxindia.com/
 https://www.iexindia.com/
 http://www.bseindia.com/
 https://www.rbi.org.in/

Evaluation Scheme:
 Class Participation 10%
 Mid-Term 20%
 Group Assignments 20%
 Term-End Exam 50%
Total 100%

Session Plan:
Session Topic (including Learning Outcomes Pedagogical Tool Textbook
subtopics) Chapters &
Readings
1 Introduction to Generic Understanding about Statistical packages: Chapter 1
Financial econometrics and its EViews/R/STATA (Brooks)
Econometrics & Data application on financial data (teaching through any
Overview one software platform
 Overview of choice of faculty)
Financial
Econometrics;
 Need of
econometrics and
symbiotic
relationship with
financial data;
2  Plotting of data Generic Understanding about ( stock Data of Chapter 1
 What is trend, data plots, effect of trend, Hindustan Uniliver (Brooks)
seasonality, cycle cycle and seasonality Limited)
How to model https://www.nseindia.co
returns in finance m/live_market/dynaCon
tent/live_watch/get_quo
te/GetQuote.jsp?
symbol=HINDUNILVR
#
3 Introduction to Understand prerequisites for Discussion & Hands on Chapter 2
Linear Regression regression models session using software (Brooks)
model (Eviews/R/STATA)
 Properties of WTI index for Brent oil
classical linear spreaded across years
regression model 2008-18 till date using
(CLRM); MCX website
 CLRM assumptions https://in.investing.com/
and its implications; commodities/crude-oil-
historical-data

4  Testing for Create univariate linear WTI index for Brent oil Chapter 2
normality, regression models spreaded across years (Brooks)
heteroscedasticity, 2008-18 till date using
and autocorrelation MCX website
 Application of https://in.investing.com/
commodities/crude-oil-
 regression model historical-data
in finance
(Sharpe’s single
index model)
5 Modelling and Understand prerequisite for Class discussion & Chapter 5
Forecasting univariate financial time series Hands on session using (Brooks)
Univariate Time software
Series I –(I) (Eviews/R/STATA)
 Examples of Stock price data for any
financial time series banking industry from
and their data BSE website.
sources; https://www.bseindia.co
 Stationary and Non- m/markets/equity/EQRe
stationary time ports/StockPrcHistori.as
series; px?
scripcode=512289&flag
=sp&Submit=G
6 Autocorrelation and Understand correlation effect https://www.bseindia.co Chapter 4
Partial autocorrelation in data m/markets/equity/EQRe (CM, Sec
function (ACF and ports/StockPrcHistori.as 4.5)
PACF) (II) px?
scripcode=512289&flag
=sp&Submit=G
7 Modelling and Create forecasting models for Class room Discussion Chapter 5
Forecasting financial time series and & Hands on session (Brooks)
Univariate Time demonstrate techniques for using software
Series II (I) smoothening data (Eviews/R/STATA)
 Autoregressive
(AR) and
 Moving Average
(MA) process;
8 Exponential Smoothing Understand trend and (stock data from Tata Chapter 5
model; (single, seasonality effect using Coffee ) (Brooks)
Double, smoothening techniques http://www.moneycontr
Triple)Modelling and ol.com/stocks/hist_stock
Forecasting financial _result.php?
returns( II) ex=N&sc_id=CC23&m
ycomp=Tata%20Coffee
9 Autoregressive Moving Create advance forecasting Chapter 5
(Currency data from
Average process models for financial time (Brooks)
RBI website)
(ARMA) series
https://dbie.rbi.org.in/D
( I)
BIE/dbie.rbi?site=home
10 Box-Jenkins Create advance forecasting (Currency data from Chapter 5
Methodology models using integrated effect RBI website) (Brooks)
(ARIMA)( II) https://dbie.rbi.org.in/D
BIE/dbie.rbi?site=home
11 Multivariate Time Apply multivariate time series Class room discussion Chapter 6
Series models models and their respective & Hands on session (Brooks, Sec
 Vector error correction models using software 6.11-6.16)
autoregressive (Eviews/R/STATA)
(VAR) models(I)
12 (IVAR, CVAR)-II Create advance integrated and Hands-on- Chapter 6
conditional effect aligned auto https://dbie.rbi.org.in/D (Brooks)
regressive models BIE/dbie.rbi?site=home
13 Cointegration Apply multivariate time series (Currency data from Chapter 6
 Error correction models and their respective RBI website) (Brooks)
error correction models using https://dbie.rbi.org.in/D
 cointegration method BIE/dbie.rbi?site=home
14 Basic Volatility Understand volatility, models Class room discussion Chapter 8
Models to asses volatility on & Hands on session (Brooks)
 Examples of numerous financial time series using software (Eviews/
Univariate R/ STATA)
modelling and (Currency data from
forecasting RBI website)
Autoregressive
Conditionally
Heteroscedasticity
15 (ARCH) and Build and create models with https://dbie.rbi.org.in/D Chapter 8
Generalized ARCH effect of heteroscedasticity BIE/dbie.rbi?site=home (Brooks)
Models;
Asymmetric GARCH
models;
16 Application of various Understand volatility, models Stock price data for any Chapter 8
volatility models with to asses volatility on manufacturing industry (Brooks)
currency and financial manufacturing sector financial from BSE website.
markets data time series http://www.moneycontr
ol.com/stocks/hist_stock
_result.php?
ex=N&sc_id=CC23&m
ycomp=Tata%20Coffee
17 Panel Data models Differentiate between time Class room discussion Chapter 10
overview series and panel data and & Hands on session (Brooks)
 Overview of panel understand financial using software (Eviews/
data application of panel data R/ STATA)
 Model used under ( Pharmacy companies
panel data case for four variables,
overview: (I) trend data for four
 Fixed effect model; quarters)
https://www.nseindia.co
m/live_market/dynaCon
tent/live_watch/get_quo
te/GetQuote.jsp?
symbol=SUNPHARMA
&illiquid=0&smeFlag=
0&itpFlag=0#
18 Random effect model; Differentiate right application Class room discussion Chapter 10
choosing between fixed usage of fixed and random and hands-on (Brooks)
effect and random effect models https://www.nseindia.co
effect model(II) m/live_market/dynaCon
tent/live_watch/get_quo
te/GetQuote.jsp?
symbol=SUNPHARMA
&illiquid=0&smeFlag=
0&itpFlag=0#
19-20 Presentations on Given Analysis to be carried
Projects out using Software
platform & Group
Presentations