Stochastic Investment Modelling: The Case of South Africa

R.J. Thomson

British Actuarial Journal, 1996, vol. 2, issue 3, 765-801

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.

Date: 1996
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