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- W3100102918 abstract "Abstract 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." @default.
- W3100102918 created "2020-11-23" @default.
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- W3100102918 date "2020-11-15" @default.
- W3100102918 modified "2023-09-27" @default.
- W3100102918 title "S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA" @default.
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- W3100102918 doi "https://doi.org/10.1186/s40854-020-00201-5" @default.
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