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MFE Financial Econometrics II: Week 5

Teaching material from Week 5.

Financial Econometrics II: Week 5



In-person Slides (pdf)
In-person Slides (web)
In-person Slides (Jupyter Notebook)

Same as Previous Week

Univariate Volatility
Univariate Volatility (Print Optimized)

Data Files

Univariate Volatility Data (pandas HDF) used in the IPython notebook-based slides.

Executing code in jupyter slides

See the instructions for installing the mfe package to install some function used in the slides.

Practical Assignment 4

Due Friday 5th Week Hilary

Note: This assignment remains an individual assignment since it was not possible to change it to a group project before the deadline due to the complexity of University procedures.

Computational Assignment III
Demo Autograder (Jupyter Notebook)
Demo Autograder (Python)
Solutions Template

Weekly Assignment

Week 5 Assignment


Week 5 Assignment Solution

Practice Quiz

Oxford MFE Students only (Canvas)

Week 5 Quiz

Pre-lecture content


The readings listed correspond to the pre-recorded content. You should either watch the pre-recorded content or read the notes prior to the Week 5 lecture.

Sections 7.7 from the Univariate Volatility Notes


Oxford MFE Students only (Canvas)

  1. Forecasting
  2. ARCH Models
  3. Forecast Evaluation