Testing a model for the term structure of interest rates using time-series analysis (Box-Jenkins approached)
Date of Publication
1991
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Mathematics
College
College of Science
Department/Unit
Mathematics and Statistics
Abstract/Summary
The study primarily dealth with Time-Series Analysis, the Box-Jenkins Approach. However, it concentrated only with the ARIMA (p, d, q) models.
The study applied this topic to a 13-year monthly period of interest rates of loans based on commercial banks for the years 1978-1990.
Box-Jenkins Approach involved three steps. Identification stage, to determine whether the series or original observed values were stationary or non-stationary. If the series were found to be non-stationary, then transformations were needed. This may include the natural logarithm transformation, 1/sqrt x transformation and differencing. The next step was about the explanation of models. Proper specification and determination, estimation of parameters and diagnostic checking were all included. Diagnostic checking determines adequacy of the model for future forecasts. Forecasting was the last step in the Time-Series Analysis. This dealt with prediction of future values.
The study was able to determine two models that was forecasted for a span of six (6) months. The models were determined to be an ARIMA (1, 1, 0) for the 1n transformation and ARIMA (0, 1, 1) for the 1/sqrt x transformation.
Abstract Format
html
Language
English
Format
Accession Number
TU10764
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
44 numb. leaves
Recommended Citation
Torrechante, A. B., & Tria Tirona, M. B. (1991). Testing a model for the term structure of interest rates using time-series analysis (Box-Jenkins approached). Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/17187
