1 · Returns, compounding, and factor data
Align price changes, dividends, frequency, and factor units.
Financial Econometrics, Risk & Factor Models
Returns, volatility clustering, ARCH/GARCH, VaR and Expected Shortfall, factor models, and backtesting.
Course overview
Learn Financial Econometrics, Risk & Factor Models interactively
This free course uses real Python and statsmodels in your browser. Work through the modules below with explanations, executable examples, interactive controls, and questions.
2 · Volatility clustering and ARCH
Model predictable variation in conditional second moments.
3 · GARCH persistence and forecasting
Propagate volatility shocks under positivity and stationarity constraints.
4 · VaR and Expected Shortfall
Quantify both a tail threshold and the severity beyond it.
5 · Factor models and backtesting
Estimate exposures and evaluate risk models on held-out periods.