Title

Time Series Analysis: Forecasting Treasury Bill Rates

Presenter Information

Nadine InnesFollow

Academic Level at Time of Presentation

Senior

Major

Applied Mathematics

Minor

Spanish

List all Project Mentors & Advisor(s)

Dr. Manoj Pathak; Dr. Ted Porter

Presentation Format

Poster Presentation

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 of Treasury Bills are constantly changing over time due to the constant change of demand from borrowers and supply from the lenders. With this study, we seek to forecast treasury bill rates anywhere from a month to a year from today. 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. Specifically, we plan to use Treasury Bill Rates of Return with a constant maturity date of 3 months. I am defining a constant maturity date because the interest rates of long term investments may move differently than short term investments. Taking a closer look at the rates of return from August 2013 to August 2018, we will be using 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.

Start Date

16-11-2018 3:30 PM

Fall Scholars Week 2018 Event

Honors College Senior Theses

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Nov 16th, 3:30 PM

Time Series Analysis: Forecasting Treasury Bill Rates

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 of Treasury Bills are constantly changing over time due to the constant change of demand from borrowers and supply from the lenders. With this study, we seek to forecast treasury bill rates anywhere from a month to a year from today. 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. Specifically, we plan to use Treasury Bill Rates of Return with a constant maturity date of 3 months. I am defining a constant maturity date because the interest rates of long term investments may move differently than short term investments. Taking a closer look at the rates of return from August 2013 to August 2018, we will be using 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.