The Department of Economics, Jamia Millia Islamia (JMI) in association with University Placement Cell, JMI organized a three day Faculty Development Program (FDP) on Financial Econometrics with R” during 5-7 November, 2024. The event was inaugurated by Prof. Asheref Illiyan, Head, Department of Economics and FDP Director. In his opening remarks he underscored the importance such FDP in a data driven and technologically dynamic world.
The importance of Financial Econometrics and R software in research and Policy formulations was given by Prof. Moonis Shakeel, coordinator, FDP. Dr. Vasim Akram, co-coordinator, FDP proposed vote of thanks in the inaugural function.
The three day FDP witnessed eminent experts from IIT Delhi, JNU, JMI and AMU interacting with the participants who hail from different parts of the country and diverse institutions like IIT Delhi, IIT Mandi, JMI, AMU, GITAM University, and PSG College, Coimbatore. The event was organised through 12 technical sessions besides inaugural and valedictory sessions. The FDP was a blend of theoretical and hands on practices which is the need of the hour.
Dr. Zakariya Siddiqui, Associate Professor, Deptt. of Economics, JMI, the first resource person of the first day taught inter alia R and R studio environment besides R Markdown, data visualization and different R packages for conducting empirical analysis.
Prof. Elumalai Kannan, CSRD, JNU in the afternoon of 5th November, 2024 elaborated and lucidly explained on modeling and theoretical aspects of Auto regressive (AR), Moving Average (MA) and Auto regressive Integrated Moving Average (ARIMA) models with the help of in-depth derivations of the variables.
On 6th November, 2024 Prof. Moonis Shakeel, Deptt. of Economics, JMI gave the participants hands on training session which consist of practical estimation and interpretation of different financial econometrics models like AR, MA, ARMA and ARIMA.
Followed by Hands on Session Dr. Vasim Akram, Deptt. of Economics, JMI illustrated concepts relating to Unit root testing, Co-integration and Granger Causality tests.
Dr. Sourabh B Paul, Associate Professor, IIT Delhi with his unique style of interacting with the participants on the second day of afternoon discussed Univariate Volatility Modelling (GARCH) keeping in mind the different background of the participants, starting with the very basic and swiftly moving to the advance modelling.
The final day of the FDP began with an engaging session and hands on by Prof. Moonis Shakeel, focusing on ARCH (Autoregressive Conditional Heteroskedasticity) and GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models.
Following the lunch break, Dr. Tariq Masood, AMU discussed VAR (Vector Autoregression) and VECM (Vector Error Correction Model), both crucial for multivariate time series and financial analysis. The hands on VAR and VECM was handled by Dr. Zulquir Nain, AMU. Through simple steps he highlighted the application of VAR and VECM to the participants.
The sessions in the FDP enriched participants’ expertise in econometric modeling, blending theoretical insights with practical R applications to advance financial data analysis skills.
The event was concluded with a valedictory session. Prof. Muslim Khan, Dean Faculty of Social Sciences, JMI was the Chief Guest. He distributed certificate to the participants and congratulated the Head of the Department and FDP Director , Prof. Ashere Illiyan and Organising Team, Prof. Moonis Shakeel ,Coordinator of FDP and Dr. Vasim Akram, Co-cordinator of FDP and all other faculty members who were present (Dr.Zakaria Siddiqui and Dr. Mohammad Kashif Khan) for the smooth and successful organization of the three day event.
