Course Title: Financial Econometrics

Part A: Course Overview

Course Title: Financial Econometrics

Credit Points: 12


Course Code




Learning Mode

Teaching Period(s)


City Campus


625H Economics, Finance and Marketing


Sem 1 2006,
Sem 2 2006,
Sem 1 2007,
Sem 2 2007,
Sem 1 2008,
Sem 2 2008,
Sem 1 2009,
Sem 2 2009,
Sem 1 2010,
Sem 2 2010,
Sem 1 2011,
Sem 2 2011,
Sem 1 2012,
Sem 2 2012,
Sem 2 2016


Malaysia Institute of Managemt


625H Economics, Finance and Marketing


Offsh 2 08,
Offsh 2 09


Singapore Inst of Management


625H Economics, Finance and Marketing


Offsh 2 07,
Offsh 2 08,
Offsh 2 09,
Offsh 2 10,
Offsh 2 11,
Offsh2 12

Course Coordinator: TBC

Course Coordinator Phone: +61 3 9925

Course Coordinator Email:

Course Coordinator Location: City Campus

Course Coordinator Availability: Via email

Pre-requisite Courses and Assumed Knowledge and Capabilities

Required Prior Study
005014 - Quantitative Methods in Finance


Course Description

This course introduces you to the current research issues in analysing financial data by using econometric methods. It provides you with the knowledge and skills in the theoretical and empirical study of financial data. This course illustrates how econometric methods can be applied to financial data to solve problems arising in financial markets. You will apply econometric modelling in univariate and multivariate time series financial data, analyse and forecast the financial returns and volatilities, and evaluate the potential financial loss in portfolios.

Objectives/Learning Outcomes/Capability Development


CLO1: Identify the current research issues in the dynamics of financial markets.
CLO2: Estimate autoregressive models and estimate volatility models using econometric software.
CLO3: Forecast financial returns and volatilities using econometric software.
CLO4: Evaluate value at risk of financial portfolios.

Overview of Learning Activities

In this course you will be encouraged to be an active learner. Your learning will be supported through various in-class and online activities comprising individual and group work. These may include assignments; prescribed readings; sourcing, researching and analysing specific information; solving problems; producing written work and collaborating with peers on set research tasks or projects.

Overview of Learning Resources

Various learning resources are available online throughMyRMIT Studies\Canvas. The lecture notes and workshop notes are posted on Canvas.

Resources are also available online through RMIT Library databases and other facilities. Visit the RMIT library website for further details. Assistance is available online via our chat and email services, face to face at our campus libraries or via the telephone on (03) 9925 2020.

Additional resources and/or sources to assist your learning will be identified by your course coordinator and will be made available to you as required during the teaching period.

Overview of Assessment

The assessment alignment list below shows the assessment tasks against the learning outcomes they develop.

Assessment Task 1: 25%
Linked CLOs: 1, 2

Assessment Task 2: 25% 
Linked CLOs: 3, 4

Assessment Task 3: 50%
Linked CLOs: 1, 2, 3, 4

Feedback will be provided throughout the semester in class and/or in online forums through individual and group feedback on practical exercises and by individual consultation.