S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA

Financial Innovation - Tập 6 - Trang 1-19 - 2020
Madhavi Latha Challa1, Venkataramanaiah Malepati2, Siva Nageswara Rao Kolusu3
1Department of CSE, CMR College of Engineering & Technology, Hyderabad, India
2Department of Commerce, SG Govt. Degree & PG College, Piler, India
3Department of Management Studies, Vignan Foundation for Science, Technology & Research, Guntur, India

Tóm tắt

This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including variance ratio, Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski Phillips Schmidt and Shin; and Autoregressive Integrated Moving Average (ARIMA). The analysis forecasts daily stock returns for the S&P BSE Sensex and S&P BSE IT time series, using the ARIMA model. The results reveal that the mean returns of both indices are positive but near zero. This is indicative of a regressive tendency in the long-term. The forecasted values of S&P BSE Sensex and S&P BSE IT are almost equal to their actual values, with few deviations. Hence, the ARIMA model is capable of predicting medium- or long-term horizons using historical values of S&P BSE Sensex and S&P BSE IT.

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