Intervention Analysis of Share Index Data for Banks and Other Financial Institutions in Bangladesh
Journal of Financial Management and Analysis Vol. 27 No. 2 (Jul-Dec 2014)
Posted: 2 May 2015
Date Written: April 30, 2015
Abstract
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.
Keywords: Share Index of banks; Intervention model; Bangladesh
JEL Classification: C52; C82; G12; O53
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