ASSESSING THE ROBUSTNESS OF AUTO REGRESSIVE INTEGRATED MOVING AVERAGE IN PREDICTING BANKNIFTY MOVEMENTS

Abstract

The main objective of this study is to predict the BANKNIFTY stock price using Time series analysis using Auto Regressive Integrated Moving Average (ARIMA) method. The study was conducted on top five BANKNIFTY stocks based on the weightage in the National stock exchange (NSE). Under the BANKNIFTY stock AXIS bank, HDFC bank, SBI bank, ICICI bank, Kotak Mahindra bank are considered for this study. This study mainly focuses on the Forecasting the stock price of BANKNIFTY using time series model specifically on ARIMA model. This gives the better understanding of long-term performance of the stock for better investment decision making. At the same time, it also helps to create a portfolio. This helps the investors to make smart investment decision making and reduces risk depends.