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FT.com presents the fifth online executive education course in partnership with NYU Stern School of Business, featuring Robert Engle, professor of finance.
FT Business School: Global Financial Volatility
Welcome to the fifth instalment in the FT Business School series of online executive education courses, conducted in partnership with leading business schools. Nobel prize-winning economist Robert Engle, professor of finance and director of the Centre for Financial Econometrics at NYU’s Stern School of Business.
VIDEO LECTURE SCHEDULE - begins Monday July 23
Monday: VOLATILITY: How do you measure it when it is constantly changing?
Tuesday: TIME-VARYING VOLATILITY: how can ARCH and GARCH be used to measure risk?
Wednesday: RISK: Why are current risk measures so low, when we think there are serious financial risks?
Thursday: LONG-RUN RISK: What are the implications for investors of a divergence between short and long-run risk
Friday: GLOBAL FINANCIAL VOLATILITY: What are the macroeconomic causes of long-run risks?
Each of the five days will feature audio transcripts and additional reading materials
Related content and features
Monday
Volatility
In the first session we discuss how to measure and interpret volatility across a range of assets, including individual shares of both large and small companies, international stock markets and bonds.
Tuesday
Time Varying Volatility
This session will assess how the ARCH and GARCH models revolutionised ways of looking at time varying volatility and shows how these can be used to measure risk in financial markets.
- Tuesday transcript
- Additional reading
- Robert Engle (1982) “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation,” Econometrica, 50, pp987-1008
- Robert Engle (2001) “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives, 15, pp157-168
Wednesday
Risk
Many people are averse to taking risks but some risks are well worth taking. Large institutions need to estimate how much risk they are taking in each part of the business on a regular basis.
Thursday
Long Run Risk
Some risks are short-term others are more long term. Many people believe we are living in a period of high risk, which should mean high levels of financial volatility. However, stock markets around the world are at very low levels of volatility.
Friday
Global Financial Volatility
As well as long run risks there are also very long run risks, such as global warming and the underfunding of public pension schemes. Professor Engle focuses on these issues from an economist’s viewpoint.
- Friday transcript
- Additional reading
- Riccardo Colacito and Robert Engle (2008) “Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions” forthcoming in the book entitled “The Known, the Unknown and the Unknowable in Financial Risk Management”, edited by Francis X. Diebold
Your professor
Robert Engle
Robert Engle, professor of Finance at NYU Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH).
Read more about Prof Robert Engle
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