Econometrics of Energy Markets
This course will show how energy returns can be modelled, analysed, and forecasted. The aim is to provide understanding and insight into the methods used, as well as explaining the technical details. Econometric modelling and forecasting will be demonstrated using EViews and Matlab software, two powerful tools for econometric analysis; participants will be given the opportunity to learn how to use the software effectively in class.
The course will discuss univariate and multivariate GARCH models for energy returns and the Value at Risk and Global Minimum Variance portfolio used by policy markets, traders and academics to identify the best econometric model of energy returns
This module can be taken as part of a PG Certificate, PG Diploma or Full Masters Program.
The modelling of univariate and multivariate time series of energy returns.
Nonlinear time series models, including volatility modelling and the score-driven approach.
Forecasting energy price volatilities and correlation. Forecasting Value at risk for energy markets.
By the end of this course, participants should have knowledge and ability to:
Engage in abstract thinking by extracting the essential features of complex systems to facilitate problem solving and decision-making.
Understand the nature of time series models and the way they are applied in practice.
Present, interpret and analyse informationand results from EViews and Matlab.
By the end of this course, students should be able to:
Econometrics of Energy Markets is an elective 10 credit course and therefore students are expected to input approximately 100 hours of study into the course.
The total number of contact hours is 15 hours. This leaves 85 hours for private study.
This module consists of 2- hour lectures per day for 5 days, plus a 1 - hour tutorial per day.
During your private study, you should strike a balance between reading the course material and the recommended textbook. You will also carry out applied exercises using the computer packages.
The dates of each lecture are confirmed closer to the start of each term. If you have any questions about dates, please contact firstname.lastname@example.org.