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

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Author Info

  • 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)

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    Abstract

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    Bibliographic Info

    Paper provided by Conference Master Resources in its series 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding with number 2011-583.

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    Date of creation: Mar 2011
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    Publication status: Published in 2nd ICBER 2011 Proceeding, March 2011
    Handle: RePEc:cms:2icb11:2011-583

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    Web page: http://www.internationalconference.com.my/proceeding.htm

    Related research

    Keywords: Market Capital; Stationarity; White Noise Series; ARIMA model; and GARCH model;

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    1. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    2. Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis.
    3. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
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