TIME SERIES ANALYSIS OF THE GENERAL INDEX 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
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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 2011-592, 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding from Conference Master Resources

Keywords: General Index of Share Market; 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
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Citations: View citations in EconPapers (1)

Published in 2nd ICBER 2011 Proceeding, March 2011

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