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Stochastic Investment Modelling: The Case of South Africa

24 citations0/0 files storedBritish Actuarial Journal

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

ABSTRACT The purpose of this paper is to describe a methodology for determining an appropriate structure for time-series models of inflation rates, short-term and long-term interest rates, dividend growth rates, dividend yields, rental growth rates and rental yields and to demonstrate the application of that methodology to the development of a model based on South African data. It is suggested that the methodology used in this paper may be applied to other economic environments.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1971Time Series Analysis Forecasting and Control 2000Forecasting Economic Time Series 1977Forecasting Economic Time Series 1995More on a Stochastic Asset Model for Actuarial Use 1984A Stochastic Investment Model for Actuarial Use

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2004Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use 2005The pricing of liabilities in an incomplete market using dynamic mean–variance hedging 1999Investment Returns and Inflation Models: Some Australian Evidence

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