Intensive Course on Measuring and Forecasting Volatility and Risk

Barcelona Graduate School of Economics


Intensive Course on Measuring and Forecasting Volatility and Risk

Barcelona Graduate School of Economics


The course on Measuring and Forecasting Volatility and Risk is organized by the Barcelona Graduate School of Economics and the Florence School of Banking & Finance.

This course provides a presentation of state-of-the-art methodologies for the analysis of volatility, correlations, networks, and transmission of financial and macro time series, with applications to systemic risk measurement.

It will begin by introducing GARCH models for the analysis of time-varying volatility and DCC models for time-varying correlations. These time series techniques are then used to construct popular measures of systemic risk, recently proposed in the literature: CoVaR and SRISK. On the last day, instructors will focus on the advanced details of networks, connectedness, and transmission. During the sessions, instructors will also introduce the algorithms to deal with large data sets.

The sessions will be divided into theory and practice. The theory classes will introduce the methodology, while the practical sessions will illustrate the techniques introduced in the course on real datasets.

Key benefits

  • Estimation and forecasting
  • Models of time-varying correlations: estimation and forecasting
  • VaR and systemic risk: measures and forecasting techniques

Participant profile

  • Financial Stability and Research departments in central banks
  • Ph.D. and Post-doctoral researchers
  • Assistant Professors
  • Research department officers of private banks
  • EU institutions


  • Degree in Economics or Statistics
  • Knowledge of basic estimation techniques


Please note that participation fees do not include accommodation expenses. Participants must make their own accommodation arrangements. Information and accommodation options are available on the accommodations page.

  • 英語

最後にAugust 6, 2018を更新
このコースは、 大学キャンパスにて
Start Date
3 日