Intervention analysis of share index data for banks and other financial Institutions in Bangladesh

Intervention analysis of share index data for banks and other financial Institutions in Bangladesh

This study is done to construct an intervention model for the share index of banks and other financial Institutions in Bangladesh. Intervention models are constructed for data series using different approaches and compared with the ARIMA model fitted for the same data series. In our study superiorit...

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Veröffentlicht in:Journal of financial management and analysis 2014-07, Vol.27 (2), p.20
Hauptverfasser: Sabiruzzaman, M.D, Razzaque, M.A
Format: Artikel
Sprache:eng
Schlagworte:
Banking industry
Banks (Finance)
Financial institutions
Forecasting techniques
Hypotheses
Intervention
Statistics
Stock exchanges
Stock index futures
Stock price indexes
Studies
Time series
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Zusammenfassung:This study is done to construct an intervention model for the share index of banks and other financial Institutions in Bangladesh. Intervention models are constructed for data series using different approaches and compared with the ARIMA model fitted for the same data series. In our study superiority of the intervention model over ARIMA model is established. Using the share index data, we have shown that due to existence of external events, intervention model has lower residual variance and also has lower forecast error than that of ARIMA model
ISSN:0970-4205