FORECASTING THE MARKET CAPITAL OF DHAKA STOCK EXCHANGE IN BANGLADESH: A COMPARATIVE STUDY OF GARCH AND ARIMA MODELS

Mina Mahbub Hossain Author_Email: Mahbubfhisrt@gmail.com, Mehdi Rajeb and Mahendran Shitan
Additional contact information
Mina Mahbub Hossain Author_Email: Mahbubfhisrt@gmail.com: Department of BBA, Daffodil International University, Dhaka, Bangladesh
Mehdi Rajeb: School of Business, University of Liberal Arts Bangladesh, Dhaka, Bangladesh,
Mahendran Shitan: Laboratory of Computational Statistics and Operations Research, INSPEM, and Department of Mathematics, Faculty of Science, Universiti Putra Malaysia

No 2011-583, 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding from Conference Master Resources

Keywords: Market Capital; Stationarity; White Noise Series; ARIMA model; and GARCH model (search for similar items in EconPapers)
JEL-codes: M0 (search for similar items in EconPapers)
Date: 2011-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2nd ICBER 2011 Proceeding, March 2011

Downloads: (external link)
http://www.internationalconference.com.my/proceedi ... Stock%20Exchange.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cms:2icb11:2011-583

Access Statistics for this paper

More papers in 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding from Conference Master Resources
Bibliographic data for series maintained by ihfal ( this e-mail address is bad, please contact ).