期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2019
期号：171
页码：20-47
出版社：European Journals Inc.
摘要：The Dhaka Stock Exchange (DSE) is an emerging stock exchange located in the capital city of Bangladesh. This present study focuses on finding a predictive model for the DSE general index. According to the Box-Jenkins methodology, ARIMA (2, 2, 1) model was found well fitted from a set of different possible ARIMA models. But the diagnostic tests such as ACF plot of residuals, standardized residual plot, shows that our model forecasts mean of the series pretty good though, we need to consider the volatility of the series to get the more accurate forecast of the data set. Conditional variance model, eGARCH (1, 1) was found as the best fits to our DSE data. The R package rugarch is used to fit the model.
关键词：DSE; General Index; ARIMA; Volatility; ARCH; GARCH.
