11 Aug 2023

IASC - The role of Backtesting in forecasting stock returns using rugarch R package

Date 11 Aug 2023
Time 13:00 GMT+02:00 - 14:30 GMT+02:00
Level of instruction Beginner
Instructor
Dr. Monday Adenomon
Registration fee
Free of charge

In economic and financial time series literature, time-varying is more common than constant volatility, and accurate modelling of time volatility is of great importance in financial time series analysis by financial econometricians. In practice, financial time series contain uncertainty, volatility, excess kurtosis, high standard deviation, high skewness and sometimes non-normality. Therefore, to model and capture properly the characteristics of financial time series models such as Auto-Regressive Conditional Heteroscedastic (ARCH), Generalized Auto-Regressive Conditional Heteroscedastic (GARCH), multivariate GARCH, Stochastic volatitlity (SV) and various variants of the models have been proposed to handle these characteristics of financial time series. This webinar would focus on univariate GARCH models and the role of backtesting approach to complement the estimated GARCH model, in order to select a reliable GARCH model useful for real life application. GARCH model estimation and backtesting would be implemented in the R environment using rugarch package.

Recording: 

Materials:

Instructors

Adenomon Monday Osagie
Instructor
Dr. Monday Adenomon

About the instructor

Dr. Adenomon Monday Osagie is an Associate Professor of Statistics with specialization in Econometrics and Financial time series in the department of Statistics, Nasarawa State University, Keffi, Nigeria.

Dr Adenomon is an Elected member of the ISI. 

Training and education:

  • PhD (Statistics)2016; M.Sc.(Statistics) 2010; B.Sc. (Statistics) 2021;
  • PGDS (Statistics) 2008;
  • HND (statistics) 2004. 

Professional services:

  • Chair of the International Association of Statistical Computing (IASC) African Members Group (2021 till date);
  • ISI Short Course and Outreach Officer (2021-2023);
  • Regional Coordinator, Northern Nigeria LISA 2020 Network;
  • Coordinator, Nasarawa State R User Group;
  • Lead-Organizer of the Northern Nigeria LISA 2020 Symposium (2020);
  • Lead-Organizer, IASC physical symposium in Nigeria (2019 and 2021);
  • Member, Committee of Sport Statistics Research Group of International Statistical Institutes (ISI) (2019 till date);
  • Chartered Statistician of the Royal Statistical Society (2019 till Date); 
  • Coordinator, NSUK-LISA Stat Lab (2018 till Date);
  • Founder, Foundation of Laboratory for Econometrics & Applied Statistics of Nigeria (aka Found-LEAS-in-Nigeria) (2018 till Date);
  • Mentor, LISA 2020 Networks (2018 till date)