Advanced Training in Modeling and Forecasting Volatility in Financial Markets

An advanced training in modelling and forecasting volatility in financial markets, organized by the COMESA Monetary Institute (CMI) was held in Nairobi from 13th to 17th October, 2014. The event was officially opened by Professor Kinandu Muragu, the Executive Director of the Kenya School of Monetary Studies (KSMS) and Mr. Ibrahim Zeidy, the Director, COMESA Monetary Institute (CMI). In their opening remarks, the two speakers emphasized the need to develop capacity in modeling and forecasting especially for financial markets.  Noting that financial markets are prone to volatility, they pointed out that such volatility generates uncertainty in financial markets, which increases the associated level of risk and could therefore have serious adverse impact on financial stability and economic growth.

The training followed a directive to CMI by the 19th Meeting of the COMESA Committee of Governors of Central Banks held in Lilongwe, Malawi in November 2013, to organize a course in modelling and forecasting volatility in financial markets for COMESA member countries. Providing a balance between analytical and applied skills, the training covered, among others, the silent features of typical high frequency financial time series data, modelling volatility using the Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH methodologies and forecasting volatility. The training was attended by participants from the following COMESA member countries: Egypt, Kenya, Madagascar, Rwanda, Sudan, Uganda, Zambia, and Zimbabwe. The five day workshop equipped the participants with appropriate analytical skills and rigour in modeling and forecasting. Participants gained hands on skills and theoretical exposition required to model and forecast volatility in financial markets.