3. Electronic Theses and Dissertations (ETDs) - All submissions

Permanent URI for this communityhttps://wiredspace.wits.ac.za/handle/10539/45

For queries relating to content and technical issues, please contact IR specialists via this email address : openscholarship.library@wits.ac.za, Tel: 011 717 4652 or 011 717 1954

Browse

Filters

20161

Settings

Author: search.filters.author.Msipa, ChipoSubject: search.filters.subject.Stock price forecasting--Mathematical models

Search Results

Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    Does the Taylor Rule outperform market forecasts of interest rates?
    (2016) Msipa, Chipo
    This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons.
Copyright Ownership Is Guided By The University's

Intellectual Property policy

Students submitting a Thesis or Dissertation must be aware of current copyright issues. Both for the protection of your original work as well as the protection of another's copyrighted work, you should follow all current copyright law.