Application of Several Time Series Methods to Three Important Financial Time Series

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dc.contributor.advisorKoean, C
dc.contributor.authorO'Connell, Bryan
dc.date.accessioned2023-06-26T12:52:40Z
dc.date.accessioned2024-10-30T14:00:39Z
dc.date.available2023-06-26T12:52:40Z
dc.date.available2024-10-30T14:00:39Z
dc.date.issued2007
dc.description>Magister Scientiae - MScen_US
dc.description.abstractThis study is concerned with three different financial time series over an eight year period, namely: the government repurchase rate, the Rand-Dollar exchange rate and the Allshare Index. The aim is to better understand the statistical nature of the time series. The theory employed will be discussed briefly and then the results will be reported. Different methods are employed to model the different time series. The following topics are discussed: unit root tests, autoregressive integrated moving average models, outlier tests, transformations, generalised autoregressive conditional heteroscedasticity models, cointegration, transfer function models and vector autoregressive models.en_US
dc.identifier.urihttps://hdl.handle.net/10566/16922
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.rights.holderUniversity of the Western Capeen_US
dc.subjectGovernment repurchase rateen_US
dc.subjectRand-Dollar exchange rateen_US
dc.subjectAllShare Indexen_US
dc.subjectUnit root testsen_US
dc.titleApplication of Several Time Series Methods to Three Important Financial Time Seriesen_US

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