Forecasting of Indian stock market using time-series ARIMA model

The most reliable way to forecast the future is to try to understand the present and thus, accordingly we have set our prior objective as the analysis of the present scenario of the Indian Stock Market so as to understand and try to create a better future scope for investment. On this context, we have collected data on the monthly closing stock indices of sensex for six years(2007-2012) and based on these we have tried to develop an appropriate model which would help us to forecast the future unobserved values of the Indian stock market indices. This study offers an application of ARIMA model based on which we predict the future stock indices which have a strong influence on the performance of the Indian economy. The Indian Stock market is the centre of interest for many economists, investors and researchers and hence it is quite important for them to have a clear understanding of the present status of the market. To establish the model we applied the validation technique with the observed data of sensex of 2013.