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Stochastic Investment Modelling: The Case of South Africa

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  • Thomson, R.J.

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.

Suggested Citation

  • Thomson, R.J., 1996. "Stochastic Investment Modelling: The Case of South Africa," British Actuarial Journal, Cambridge University Press, vol. 2(3), pages 765-801, August.
    • Handle: RePEc:cup:bracjl:v:2:y:1996:i:03:p:765-801_00
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