{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/5752"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/5752","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate","abstract":"This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process.","abstract_html":"This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process.","abstract_has_math":false,"creators":["Aling, Peter"],"institution":"School of Economics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Hassan, Shakill"],"committee_chairs":[],"committee_members":[],"year":2007,"date_issued":"2007","date_published":"2007","updated_at":"2026-07-22T22:22:47Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/5752","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Hassan, Shakill"]},{"key":"dc:creator","label":"Author","values":["Aling, Peter"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-07-31T12:25:48Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-07-31T12:25:48Z"]},{"key":"dc:date.issued","label":"Date","values":["2007"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["School of Economics"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MCom"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/5752"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references (leaves 33-36)."]},{"key":"dc:description.abstract","label":"Abstract","values":["This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process."]},{"key":"dc:title","label":"Title","values":["Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate"]}]}],"canonical_facts":{"dc:contributor.advisor":["Hassan, Shakill"],"dc:creator":["Aling, Peter"],"dc:date.accessioned":["2014-07-31T12:25:48Z"],"dc:date.available":["2014-07-31T12:25:48Z"],"dc:date.issued":["2007"],"dc:description":["Includes bibliographical references (leaves 33-36)."],"dc:description.abstract":["This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process."],"dc:identifier.uri":["http://hdl.handle.net/11427/5752"],"dc:language.iso":["eng"],"dc:publisher.department":["School of Economics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-22T22:22:47Z"}