Predicting Interest Rates: An Analysis of Treasury Bill Rates Using Time Series Analysis
Academic Level at Time of Presentation
Senior
Major
Applied Mathematics
Minor
Spanish
List all Project Mentors & Advisor(s)
Dr. Manoj Pathak
Presentation Format
Oral Presentation
Abstract/Description
This study will analyze treasury bill interest rates. Treasury bills are non-coupon paying bonds that are considered a rather safe, or low risk, investment as they are backed by the United States government. Treasury bill interest rates tend to be rather stable and do not fluctuate much, therefore, we will be analyzing several years of biweekly rates given by the United States treasury. The objective of the study is to fit the time series data using linear time series methods, as appropriate, and use the fitted model to predict short term interest rates. The data will be analyzed using standard time series models, namely Autoregressive Integrated Moving Average (ARIMA) models.
Start Date
16-11-2018 3:30 PM
Fall Scholars Week 2018 Event
Honors College Senior Theses
Predicting Interest Rates: An Analysis of Treasury Bill Rates Using Time Series Analysis
This study will analyze treasury bill interest rates. Treasury bills are non-coupon paying bonds that are considered a rather safe, or low risk, investment as they are backed by the United States government. Treasury bill interest rates tend to be rather stable and do not fluctuate much, therefore, we will be analyzing several years of biweekly rates given by the United States treasury. The objective of the study is to fit the time series data using linear time series methods, as appropriate, and use the fitted model to predict short term interest rates. The data will be analyzed using standard time series models, namely Autoregressive Integrated Moving Average (ARIMA) models.