The main purpose of this paper is to forecast the top three IT companies of NSE index. The financial econometric approach, Auto Regressive Integrated Moving Average (ARIMA) method is used to forecast the index. In this paper, ARIMA approach is used to fit 10 years of past data from 2007 to 2016 and forecast the data from 2007 to 2013. Different types of models evaluated using Akaike Information Criteria (AIC) value. Validation done by comparison of forecasted and actual data values for the hold back period of 3 years from 2014 to 2016. Root Mean Square Error(RMSE) and Mean Absolute Error(MAE) both are used for accuracy measurement. From the analysis the different investors can choose companies according to their perspective.
Volume 11 | Issue 6
Pages: 341-355