Vector Autoregressive （VAR） Modeling and Projection of DSE

作     者：Ahammad Hossain Md. Kamruzzaman Md. Ayub Ali 

作者机构：Varendra University Rajshahi Bangladesh University of Rajshahi Rajshahi Bangladesh 

出 版 物：《Chinese Business Review》 (中国经济评论（英文版）)

年 卷 期：2015年第14卷第6期

页      面：273-289页

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 08[工学] 0714[理学-统计学（可授理学、经济学学位）] 0835[工学-软件工程] 070103[理学-概率论与数理统计] 0701[理学-数学] 081202[工学-计算机软件与理论] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

主　　题：vector autoregressive (VAR) model impulse response analysis Granger causality 

摘      要：In this paper, vector autoregressive （VAR） models have been recognized for the selected indicators of Dhaka stock exchange （DSE）. Bangladesh uses the micro economic variables, such as stock trade, invested stock capital, stock volume, current market value, and DSE general indexes which have the direct impact on DSE prices. The data were collected for the period from June 2004 to July 2013 as the basis on daily scale. But to get the maximum explorative information and reduction of volatility, the data have been transformed to the monthly scale. The outliers and extreme values of the study variables are detected through box and whisker plot. To detect the unit root property of the study variables, various unit root tests have been applied. The forecast performance of the different VAR models is compared to have the minimum residual. Moreover, the dynamics of this financial market is analyzed through Granger causality and impulse response analysis.