Volatility Analysis and Forecasting Volume Data of DSE

ISBN-13: 9783659683664 / Angielski / Miękka / 2015 / 176 str.

Hossain Ahammad;Ali Ayub;Kamruzzaman MD

Opis

This book helps to search a suitable model for the daily volume data series of Dhaka Stock Exchange (DSE) and to forecast the future outline. ML - ARCH (Marquardt) method has been used to build up the models for the volume data series by using statistical softwares Eviews verson-5. Firstly, we fitted an ARIMA model and observed that there were present heteroskewdastic transactions. Then, we used different ARCH class volatility models but one of them we used intervention shock and selected the ARIMA with EGARCH model. Our findings established that ARIMA with EGARCH model comprises low residual variance and low forecast error for volume data and thus, the modeling concept used in this paper would be useful for the investors or researchers to resolve the future value of share volume.

O autorze

Ahammad Hossain,Lecturer, Department of Natural Science, Varendra University, Rajshahi, Bangladesh.Educational Background:M.Sc. in Statistics, University of Rajshahi, Rajshahi, Bangladesh