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

Abstract

This 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.