ARIMA Modelling to Forecast and Analyze Indian Sectoral Stock Prices

Time series forecasting is an active research area that has drawn considerable attention for application in a variety of areas. Auto Regressive Integrated Moving Average (ARIMA) models are one of the most important time series models used in financial forecasting over the past three decades. This paper attempts to address the forecasting of stock prices. The forecasting models ARIMAs are applied to forecast the stock prices. The results suggest that ARIMA (1, 1, 0) is the most suitable model to be used for forecasting stock prices. Closer examination suggests that the stock prices are upward trends and could be considered as a worthy investment.