mehdi rajeb
University of LIberal Arts Bangladesh, School of Business, Faculty Member
The Dhaka Stock Exchange (DSE) is the prime bourse of Bangladesh. Through its nonstop highly fault-tolerant screen based automated trading system, the exchange can offer facilities for transparent and highly efficient mechanism provisions... more
The Dhaka Stock Exchange (DSE) is the prime bourse of Bangladesh. Through its nonstop highly fault-tolerant screen based automated trading system, the exchange can offer facilities for transparent and highly efficient mechanism provisions for secondary market activities of shares, debentures and wide varieties of other securities. DSE as a government company can play an important role in the economic development of the country. To ensure the prominent role of DSE in our economy we need to understand its nature in depth at various dimensions. Hence, to assist in decision making process this article is proposing time series model based on Daily data on Market Capital (in Tk. per 10 Lac Core) of Dhaka Stock Exchange (DSE) from the Fiscal year in context of the stock market, to obtain the information about current trend of the market capital as well as for future prediction, but still can be developed for any stock market. In this paper, we have identified ARIMA (2, 1, 2) model as the best one to forecast the daily market capital of Dhaka Stock Exchange, Bangladesh. We have also found that the GARCH (1, 1) model a specified set of parameters is the best fit for our concerned data set.
The Dhaka Stock Exchange (DSE) is the prime bourse of Bangladesh. Through its nonstop highly fault-tolerant screen based automated trading system, the exchange can offer facilities for transparent and highly efficient mechanism provisions... more
The Dhaka Stock Exchange (DSE) is the prime bourse of Bangladesh. Through its nonstop highly fault-tolerant screen based automated trading system, the exchange can offer facilities for transparent and highly efficient mechanism provisions for secondary market activities of shares, debentures and wide varieties of other securities. DSE as a government company can play an important role in the economic development of the country. To ensure the prominent role of DSE in our economy we need to understand its nature in depth at various dimensions. Hence, to assist in decision making process this article is proposing time series model based on Daily data on Market Capital (in Tk. per 10 Lac Core) of Dhaka Stock Exchange (DSE) from the Fiscal year in context of the stock market, to obtain the information about current trend of the market capital as well as for future prediction, but still can be developed for any stock market. In this paper, we have identified ARIMA (2, 1, 2) model as the best one to forecast the daily market capital of Dhaka Stock Exchange, Bangladesh. We have also found that the GARCH (1, 1) model a specified set of parameters is the best fit for our concerned data set.
For any nation, to attain a better growth in business and development, prediction and forecasting is must to confront the gap between export and import. Identifying the trend in export-import as well as predicting the future values of... more
For any nation, to attain a better growth in business and development, prediction and forecasting is must to confront the gap between export and import. Identifying the trend in export-import as well as predicting the future values of these two sectors, is a major challenge for the national trade policy makers. Hence, to assist in decision making process this article is proposing two time series model based on export and successively on import using export-import data from 2000-2006 in context of Bangladesh, to obtain the information about current export-import trend as well as for future prediction, but still can be developed for any nation. To construct the mathematical export-imports models, different tools of Time series analysis, has been used. Autoregressive (AR) process along with moving average (MA) constitutes autoregressive and moving average (ARMA) process, which is used only to model stationary time series, was considered. In order to extend this model into non-stationary time series model, the concept of autoregressive integrated moving average (ARIMA) has been developed. To identify a perfect ARIMA model for a particular data series, Box and Jenkins methodology that consists of three phases, identification, estimation & diagnostic checking and application was applied. The proposed models also managed to identify the influences of export and imports in past years on export-import in current or future years.