Modeling Interest Rates for Series I Savings Bonds

Date: 
Friday, April 28, 2017 - 3:00pm
Location: 
312 Math Science Building
Speaker: 
Amanda Croan (advisor Allanus Tsoi)
(MU Math)

Abstract

The following paper defines key terms and variables, then investigates what Series I Security Bonds are, as well as the benefits of such an investment. We then look at the components that comprise the interest rate of these bonds and use an autoregressive model to predict future rates and volatility by implementing Yule-Walker equations, and Itô’s calculus. The purpose of this paper is to analyze the previous rates for past trends and outlying data in an attempt to support or reject the predicted rates.