Date on Honors Thesis

Spring 5-2019

Department

Mathematics and Statistics

Examining Committee Member

Dr. Manoj Pathak, Advisor

Examining Committee Member

Dr. Ted Porter, Committee Member

Examining Committee Member

Dr. Craig Collins, Committee Member

Abstract/Description

A Treasury Bill is a short-term investment typically with a maturity date of 12 months or less that is backed by the Treasury Department of the United States government. Rates of return for Treasury Bills are constantly changing over time due to the constant change of demand from borrowers and supply from lenders. This study seeks to forecast treasury bill rates that mature in 3 months. Since actuaries employ their knowledge of mathematics and statistical methods to analyze the likelihood of future events and their possible financial repercussions, having a projection of future treasury bill rates can provide guidance to investors in managing their own potential risk. Taking a closer look at the weekly rates of return from August 2013 to August 2018, this study will use standard time series methods such as Autoregressive Integrated Moving Average (ARIMA). The data will be fitted with appropriate ARIMA model and the fitted model will be used to forecast future observations.

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