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 |
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| creator | Sabiruzzaman, M.D Razzaque, M.A |
| description | 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 |
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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</description><identifier>ISSN: 0970-4205</identifier><identifier>CODEN: JFANE9</identifier><language>eng</language><publisher>Mumbai: Om Sai Ram Centre for Financial Management Research</publisher><subject>Banking industry ; Banks (Finance) ; Financial institutions ; Forecasting techniques ; Hypotheses ; Intervention ; Statistics ; Stock exchanges ; Stock index futures ; Stock price indexes ; Studies ; Time series</subject><ispartof>Journal of financial management and analysis, 2014-07, Vol.27 (2), p.20</ispartof><rights>COPYRIGHT 2014 Om Sai Ram Centre for Financial Management Research</rights><rights>Copyright Om Sai Ram Centre for Financial Research Jul-Dec 2014</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784</link.rule.ids></links><search><creatorcontrib>Sabiruzzaman, M.D</creatorcontrib><creatorcontrib>Razzaque, M.A</creatorcontrib><title>Intervention analysis of share index data for banks and other financial Institutions in Bangladesh</title><title>Journal of financial management and analysis</title><description>This study is done to construct an intervention model for the share index of banks and other financial Institutions in Bangladesh. 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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</description><subject>Banking industry</subject><subject>Banks (Finance)</subject><subject>Financial institutions</subject><subject>Forecasting techniques</subject><subject>Hypotheses</subject><subject>Intervention</subject><subject>Statistics</subject><subject>Stock exchanges</subject><subject>Stock index futures</subject><subject>Stock price indexes</subject><subject>Studies</subject><subject>Time series</subject><issn>0970-4205</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><sourceid>N95</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNptj1tLxDAQhfug4Hr5DwFfrSRpm7aP6-JlYcEXfS6TdtJm7SbaSUX_vVkUXEEG5sDhOwfOUbLgdcnTXPLiJDkl2nIuZFbni0SvXcDpHV2w3jFwMH6SJeYNowEmZNZ1-ME6CMCMn5gG90IR65gPA07MWAeutTCytaNgw7yvoZhiN-D6ETqk4Tw5NjASXvzoWfJ8d_u0ekg3j_fr1XKT9qJWKs0KWXegO5CIpVEahVQZCtSlUCLnqgKVc11piQag1WX0dS0RonBoizI7Sy6_e18n_zYjhWbr5ykuokaoStZcFbz6pXoYsbHO-DBBu7PUNstcilLVstp3Xf9DxetwZ1vv0Njo_wlcHQT0TNYhxUe2HwL1MBMd4l8wEXyO</recordid><startdate>20140701</startdate><enddate>20140701</enddate><creator>Sabiruzzaman, M.D</creator><creator>Razzaque, M.A</creator><general>Om Sai Ram Centre for Financial Management Research</general><general>Om Sai Ram Centre for Financial Research</general><scope>N95</scope><scope>XI7</scope><scope>04Q</scope><scope>04S</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>4S-</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8AO</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>M1F</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>Q9U</scope><scope>S0X</scope></search><sort><creationdate>20140701</creationdate><title>Intervention analysis of share index data for banks and other financial Institutions in Bangladesh</title><author>Sabiruzzaman, M.D ; 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| ispartof | Journal of financial management and analysis, 2014-07, Vol.27 (2), p.20 |
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| language | eng |
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| source | EBSCOhost Business Source Complete |
| subjects | Banking industry Banks (Finance) Financial institutions Forecasting techniques Hypotheses Intervention Statistics Stock exchanges Stock index futures Stock price indexes Studies Time series |
| title | Intervention analysis of share index data for banks and other financial Institutions in Bangladesh |
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