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Time Series Analysis Of The General Index Of Dhaka Stock Exchange In Bangladesh: A Comparative Study Of Garch And Arima Models

Author

Listed:
  • 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. "Time Series Analysis Of The General Index 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 2011-592, Conference Master Resources.
  • Handle: RePEc:cms:2icb11:2011-592
    as

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    File URL: http://www.internationalconference.com.my/proceeding/2ndicber2011_proceeding/592-2nd%20ICBER%202011%20PG%202756-2769%20GARCH%20and%20ARIMA%20Models.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Ajit Singh, 1998. "Financial liberalisation, stockmarkets and economic development," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 8(1), pages 165-182.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    General Index of Share Market; Stationarity; White Noise Series; ARIMA model and GARCH model;

    JEL classification:

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

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