Stock value prediction plays a key role in financial planning and decision-making in the dynamic world of stock markets. So, stock prediction is crucial for investors and traders to make informed decisions about buying, selling, or holding stocks. This paper aims to forecast future Dhaka stock market values using various forecasting models. We have used the most common time series models, ARIMA, ARFIMA and ANN AI forecasting models. To capture the better capability prediction power of this variable, a hybrid ARFIMA-ANN forecasting model has been applied. Root mean square error and coefficient of determination are used as evaluation measures to evaluate selected model performances. According to these measures, it is observed that the selected hybrid model has better prediction capability as compared to nominal time series forecasting models. We believe that our findings will be helpful to applied researchers, investors in this popular bull market, and many others who are involved in this capital market.