Actuarial Model Assumptions for Australian Inflation, Equity Returns, and Interest Rates

Though actuaries have developed several types of stochastic investment models for inflation, stock market returns, and interest rates, there are two commonly used in practice: autoregressive time series models with normally distributed errors, and autoregressive conditional heteroscedasticity (ARCH) models. ARCH models are particularly suited when there is heteroscedasticity in inflation and interest rate series. In such cases nonnormal residuals are found in the empirical data. This paper examines whether Australian univariate inflation and interest rate data are consistent with autoregressive time series and ARCH model assumptions

Each dimension and the overall market operation state "hot and cold" interval table.

Each dimension and the overall market operation state "hot and cold" interval table.</p

Spider web diagram of the residential land market status (F) composite index of city.

Spider web diagram of the residential land market status (F) composite index of city.</p

Statistical analysis results of each evaluation index from 2011 to 2015.

Statistical analysis results of each evaluation index from 2011 to 2015.</p

Residential land market overall operation status structure table.

Residential land market overall operation status structure table.</p

Evaluation index system of primary market operation status of residential land.

Evaluation index system of primary market operation status of residential land.</p

D4 dimension residential land market index state spatial pattern.

D4 dimension residential land market index state spatial pattern.</p

D3 dimension residential land market index state spatial pattern.

D3 dimension residential land market index state spatial pattern.</p

D1 dimension residential land market index state spatial pattern.

D1 dimension residential land market index state spatial pattern.</p

Table of K-S test results for each evaluation data.

Table of K-S test results for each evaluation data.</p