Volatility Analysis and Forecasting Volume Data of DSE - Softcover

Hossain, Ahammad; Ali, Ayub; Kamruzzaman, Md.

 
9783659683664: Volatility Analysis and Forecasting Volume Data of DSE
Softcover
ISBN 10: 3659683663 ISBN 13: 9783659683664
Verlag: LAP LAMBERT Academic Publishing, 2015

Inhaltsangabe

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 software's 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.

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Über die Autorin bzw. den Autor

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

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2015
Sprache
Englisch
ISBN 10 
3659683663
ISBN 13 
9783659683664
Einband
Taschenbuch
Anzahl der Seiten
176
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Edicoes Nosso Conhecimento
customerservice@vdm-vsg.de

SIA
Riga
1039
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