ABSTRACT
Mathematical models can aid in elucidating the spread of infectious disease dynamics within a given population over time. In an attempt to model tuberculosis (TB) dynamics among high-burden districts in the Ashanti Region of Ghana, the SEIR epidemic model with demography was employed within both deterministic and stochastic settings for comparison purposes. The deterministic model showed success in modelling TB infection in the region to the transmission dynamics of the stochastic SEIR model over time. It predicted tuberculosis dying out in ten of twelve high-burden districts in the Ashanti Region, but an outbreak in Obuasi municipal and Amansie West district. The effect of introducing treatment at the incubation stage of TB transmission was also investigated, and it was discovered that treatment introduced at the exposed stage decreased the spread of TB. Branching process approximation was used to derive explicit forms of relevant epidemiological quantities of the deterministic SEIR model for stability analysis of equilibrium points. Numerical simulations were performed to validate the overall infection rate, basic reproductive number, herd immunity threshold, and Malthusian parameter based on bootstrapping, jackknife, and Latin Hypercube sampling schemes. It was recommended that the Ghana Health Service should find a good mechanism to detect TB in the early stages of infection in the region. Public health attention must also be given to districts with a potentially higher risk of experiencing endemic TB even though the estimates of the overall epidemic thresholds from our SEIR model suggested that the Ashanti Region as a whole had herd immunity against TB infection.
ABSTRACT
Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields. This paper models the extreme values of the Ghana stock exchange all-shares index (2000-2010) by applying the extreme value theory (EVT) to fit a model to the tails of the daily stock returns data. A conditional approach of the EVT was preferred and hence an ARMA-GARCH model was fitted to the data to correct for the effects of autocorrelation and conditional heteroscedastic terms present in the returns series, before the EVT method was applied. The Peak Over Threshold approach of the EVT, which fits a Generalized Pareto Distribution (GPD) model to excesses above a certain selected threshold, was employed. Maximum likelihood estimates of the model parameters were obtained and the model's goodness of fit was assessed graphically using Q-Q, P-P and density plots. The findings indicate that the GPD provides an adequate fit to the data of excesses. The size of the extreme daily Ghanaian stock market movements were then computed using the value at risk and expected shortfall risk measures at some high quantiles, based on the fitted GPD model.
ABSTRACT
Price volatilities make stock investments risky, leaving investors in critical position when uncertain decision is made. To improve investor evaluation confidence on exchange markets, while not using time series methodology, we specify equity price change as a stochastic process assumed to possess Markov dependency with respective state transition probabilities matrices following the identified state pace (i.e. decrease, stable or increase). We established that identified states communicate, and that the chains are aperiodic and ergodic thus possessing limiting distributions. We developed a methodology for determining expected mean return time for stock price increases and also establish criteria for improving investment decision based on highest transition probabilities, lowest mean return time and highest limiting distributions. We further developed an R algorithm for running the methodology introduced. The established methodology is applied to selected equities from Ghana Stock Exchange weekly trading data.
