Browsing by Author "Dorrington, Robert"

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    An Investigation into the suitability of using GARCH process for pricing options on the SAFEX all share index futures contracts
    (1999) Miller, Saul; Dorrington, Robert; MacDonald, lain
    This thesis primarily sets out to investigate the possibility of incorporating autoregressive conditional heteroskedasticity (ARCH) assumptions in an option-valuation model for All Share Index option contracts, as an alternative to the constant variance assumption required by the Black-Scholes option-pricing model. This involves an assessment of whether the log-returns of the ALSI futures (the instruments underling the ALSl option) follow an ARCH process. A secondary objective is to assess the potential for using an ARCH process to model the ALST spot log returns. This could have the following uses: • Pricing over-the-counter ALSI spot options. • Using the forecast spot return ARCH volatility as a proxy for the forecast ALSI future log return volatility if they have similarly. This is desirable for pricing options on new futures contracts when there is insufficient historical futures data available to fit an ARCH model. Evidence of ARCH presence is determined by examining autocorrelation in the square error terms of the log returns. Although some statistically significant autocorrelations were found, the lags which exhibited these significant autocorrelations showed no pattern. Furthermore, lags which exhibited these significant autocorrelations changed over time.
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    Estimation of Zimbabwean migration for the period 1992-2012
    (2021) Nyathi, Mothabisi Nare; Dorrington, Robert
    International migration is the movement of people across national boundaries, and it is an important mechanism for globalisation and economic development. However, in third world countries, it means a large proportion of the population leaving. It is hard to come by statistics on emigration due to the unavailability of sound administrative data systems that record the number of departures from the country. This research seeks to estimate the net number of Zimbabwean migrants for the period 1992 to 2012, by using census data from Zimbabwe and census data from the major receiving countries of Zimbabwean migrants (South Africa and the UK) and data from the Department of Economic and Social Affairs (United Nations 2017e) for other receiving countries. The research also explores alternative estimates of the net number of Zimbabwean migrants implied by other data sources and how they compare to the estimates derived by this research. This research found that the number of Zimbabweans that left the country during the period 1992 to 2012, is between 761,682 and 1,462,620. Furthermore, the results of this research suggest that Zimbabwe is a net emigration country and the net number of Zimbabwean decreased in the second intercensal period compared to the first intercensal period. In addition, the estimates derived in this research show that migration is concentrated in the economically active age groups. Also, a notable increase in the number of female migrants is observed. A comparison of estimates derived in this study to estimates by other data sources indicated that our estimates for the net number of Zimbabwean migrants for the two intercensal periods are plausible.
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    Evaluating the plausibility of the method of using both the civil registration and census data in estimating adult mortality at district level in South Africa, circa 2011
    (2018) Marozva, Nicola; Dorrington, Robert
    The challenge in estimating mortality, both at national and sub-national levels, in developing countries such as South Africa is that neither of the death data sources (vital registration and census) are one hundred percent complete, that is, vital registration data is prone to incompleteness and deaths reported by household are subject to over- or under-reporting which may vary by age. Also, apart from issues with data sources, there is no method that estimates mortality accurately at subnational level and the methods for estimating the level of completeness of reporting of deaths cannot be applied at subnational level (due to issues with migration). Thus, measuring mortality rates at subnational level is a challenge. This research seeks to employ a method used by Dorrington, Moultrie and Timæus (2004) that makes use of both data sources in combination so as to overcome the weakness and makes use of the strength of each data source. To estimate the level of completeness in the year prior to the 2011 Census (to correct the number of deaths registered), first, the Death Distribution Methods (Synthetic Extinct Generations +delta and General Growth Balance method) are used to estimate the level of completeness of the vital registration deaths for the intercensal period 2001-2011 by population group. Thereafter, the level of completeness for each of the years in the intercensal period is estimated by fitting a logistic curve to the level of completeness for the intercensal period of 1996-2001 and 2001-2011 (derived by both Chinogurei (2017) and Richman (2017)). Thus, the number of deaths registered in the year prior to the 2011 census are then corrected for either under- or over-reporting using the estimates of completeness to obtain the true number of deaths by population group and age group for each sex. The corrected true numbers of registered deaths are then used to determine the age-specific correction factors by population group for correcting the household reported deaths at district level and thereafter estimates of mortality at district level are determined. Comparison of estimates derived in this study to estimates by other studies indicated that the method produces plausible estimates at district level, thus, findings in this research strengthens the reasonability of the method.
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    Expanding the South African Rapid Mortality Surveillance to cover provincial mortality
    (2018) Maseko, Tafadzwa; Dorrington, Robert
    Mortality estimates are useful for evaluating health status for a country. These estimates, especially for a country heavily affected by HIV epidemic and at the sub-national level, are a foundation in formulating health strategies and policies to reduce premature deaths and improve quality of life. However, estimating consistent levels and trends in mortality for a developing country like South Africa with incomplete vital registration and errors in censuses or survey data is difficult. This research examines whether one can combine National Population Register (NPR) data and Vital Registration (VR) data to produce reliable estimates of specific indices of mortality at the provincial level. In addition, the same approach as used in 2015 RMS report is applied to registered maternal deaths, neonatal deaths, and neonatal deaths captured by the District Health Information System (DHIS) to derived reliable estimates of MMR and NMR at the provincial level. The quality of NPR data and VR data is evaluated and since NPR data does not include the whole population, it is adjusted for incompleteness relative to VR data. It is found that there are some problems in the VR data such as VR death misplacement between the provinces and missing VR deaths in most recent years, which makes extrapolation of past trends in the completeness of NPR relative to VR into the future difficult. Suitable assumptions are made to correct for these anomalies and NPR data together with VR data are further adjusted for the general under-registration. Estimates of child mortality from Pillay-van Wyk, Laubscher, Msemburi et al. (2016) and estimates of adult mortality from Dorrington and Timæus (2017) are used to derive the estimates of completeness of death registration. The estimates of mortality rates produced from combining NPR and VR data appear to be sensible, showing some internal and external consistency. However, the estimates of MMRs produced from VR data as well as NMR from VR and DHIS data shows that there is a great deal of uncertainty around the estimates of these mortality indicators.
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    Investigating biases in census questions on mortality using Agincourt heath and demographic surveillance system data
    (2013) Nduru, Polite Munyaradzi; Dorrington, Robert
    An understanding of the errors found in census questions is important in order to assess the level of confidence in the census data and to get an appreciation of the impact of using these data in estimating mortality derived from census data. While demographic methods are often used to determine the direction of bias in the data, direct evaluation studies are required to determine the nature and extent of biases with more accuracy. Equally important is an understanding of the characteristics of the respondents who produce better responses in censuses. This can be used to inform selection of better respondents in order to improve the quality of the collected data. This research uses census data from a survey, which is matched to the longitudinal Health Demographic Surveillance System site (HDSS) data from Agincourt, Limpopo Province, South Africa, in order to assess the biases found in data used in child and adult mortality estimation that uses indirect techniques.