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Forecasting The Market Capital Of Dhaka Stock Exchange In Bangladesh: A Comparative Study Of Garch And Arima Models

Author

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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)

Abstract

No abstract is available for this item.

Suggested Citation

  • Mina Mahbub Hossain Author_Email: mahbubfhisrt@gmail.com & Mehdi Rajeb & Mahendran Shitan, 2011. "Forecasting The Market Capital Of Dhaka Stock Exchange In Bangladesh: A Comparative Study Of Garch And Arima Models," 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding 2011-583, Conference Master Resources.
    • Handle: RePEc:cms:2icb11:2011-583
    as

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    References listed on IDEAS

    as
    1. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 33-55, March.
    2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    3. Demirguc-Kunt, Ash & Levine, Ross, 1996. "Stock Market Development and Financial Intermediaries: Stylized Facts," The World Bank Economic Review, World Bank, vol. 10(2), pages 291-321, May.
    4. De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 561-579, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Market Capital; Stationarity; White Noise Series; ARIMA model; and GARCH model;
    All these keywords.

    JEL classification:

    • M0 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General

    Statistics

    Access and download statistics

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