To diagnosis stock market functioning the present study uses time series of monthly data from November, 2001 to April, 2012 for Bangladesh on the macroeconomic variables, namely, Stock Market Capital, Broad Money, Consumer Price Index, 3-Months Treasury Bill Rate, Industrial Production Index, Exchange Rate, Stock Market Turnover and Standard and Poor’s 500 Index, collected from Dhaka Stock Exchange Ltd. and Bangladesh Bank. Main objective of the planned study is to develop statistical models for the Dynamic Relationship between Macroeconomic Variables and Stock Market Capital of Bangladesh, in addition to, to make the Comparison among Forecasting Models. The methodology of the study is mainly based on Vector Autoregressive (VAR) model, Johansen-Juselius cointegration test, Granger causality test, Vector Error Correction Model (VECM), Impulse Response Function (IRF), Forecast Error Variance Decomposition (FEVD), GARCH-family models and Stochastic Parameter Model (SPM). Implications of this study include the following. (i) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (ii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.