Forecasting of Nifty 50 and Nifty Midcap 50 Stock Market Indices By Using Arima Model

Abstract

Stock markets act as a catalyst for the economic growth of a country. The main purpose of the present study is to examine the market performance of two most risky indices of National Stock Exchange - Nifty50 and Nifty Midcap50 and accurately forecasting the future returns of the indices using ARIMA model. The study also made a comparative analysis of both the indices. The statistics exhibits that the data of both the series are heteroscedastic and non-stationary in nature. The findings reveal that ARIMA (5,1,5) and ARIMA (29,1,29) are the best fitted models for Nifty50 and Nifty Midcap50 indices respectively and projected the uptrends of both the indices during the short run i.e. from 1st June 2022 to 31st Dec 2022. Authors concluded that the forecasted returns of Nifty 50 nad Nifty Midcap 50 are accurate and can be usedby the investors to make appropriate decisions when to buy or sell the stocks. © Indian Institute of Finance.