article Open Access
Forecasting of Maruti Suzuki returns using ARCH/GARCH model
International Journal of Research in Finance and Management · 2018 · Vol. 1(2) · pp. 24–27
Abstract
Time Series Modelling has been used to forecast the returns of Maruti Suzuki Ltd. The order of the best ARIMA Model has been found (1,0,2) for estimating the Mean Equation. After estimating it, it has been found that heteroskedasticity effect was present and Hence, Variance equation has been estimated using ARCH/GARCH Model. The graphs of returns of Maruti Suzuki Ltd has been compared with forecasted Maruti Suzuki returnsand data has been showed.
Stock Market Forecasting MethodsForecasting Techniques and ApplicationsMarket Dynamics and VolatilityAutoregressive conditional heteroskedasticityHeteroscedasticityAutoregressive integrated moving averageEconometricsEconomicsVariance (accounting)Time seriesMathematicsStatisticsVolatility (finance)
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