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Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor conti...
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| Format: | Thesis |
| Language: | English |
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School of Economics
2024
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| _version_ | 1867613780309966850 |
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| access_status_str | Open Access |
| author | Aling, Peter |
| author2 | Shakill Hassan |
| author_browse | Aling, Peter Shakill Hassan |
| author_facet | Shakill Hassan Aling, Peter |
| author_sort | Aling, Peter |
| collection | Thesis |
| description | This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid- 1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/39324 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:41:35.248Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/39324 Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate Aling, Peter Shakill Hassan This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid- 1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process. 2024-04-10T09:40:46Z 2024-04-10T09:40:46Z 2007 2024-04-10T09:28:59Z Thesis / Dissertation Masters Masters http://hdl.handle.net/11427/39324 eng application/pdf School of Economics Faculty of Commerce |
| spellingShingle | Aling, Peter Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate |
| thesis_degree_str | Master's |
| title | Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate |
| title_full | Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate |
| title_fullStr | Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate |
| title_full_unstemmed | Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate |
| title_short | Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate |
| title_sort | gaussian estimation of single factor continuous time models of the south african short term interest rate |
| url | http://hdl.handle.net/11427/39324 |
| work_keys_str_mv | AT alingpeter gaussianestimationofsinglefactorcontinuoustimemodelsofthesouthafricanshortterminterestrate |