Prediction of Stock prices in Oil Sectors using ARIMA Model

A.V. Jadhav; K.B.Kamble

doi:https://doi.org/10.14445/22315373/IJMTT-V51P535

International Journal of Mathematics Trends and Technology

Research Article | Open Access | Download PDF

Volume 51 | Number 4 | Year 2017 | Article Id. IJMTT-V51P535 | DOI : https://doi.org/10.14445/22315373/IJMTT-V51P535

Prediction of Stock prices in Oil Sectors using ARIMA Model

A.V. Jadhav, K.B.Kamble

Citation :

A.V. Jadhav, K.B.Kamble, "Prediction of Stock prices in Oil Sectors using ARIMA Model," International Journal of Mathematics Trends and Technology (IJMTT), vol. 51, no. 4, pp. 266-270, 2017. Crossref, https://doi.org/10.14445/22315373/IJMTT-V51P535

Abstract

The paper investigates the trend of four specific prices on the Bombay Stock Exchange. These are the shares of public sector Oil companies HPCL, IOCL, BPCL, and ONGC. An Autoregressive Moving Average model has been used for modelling purposes. BSE to a certain extent reflect the degree of inflection which has a great signification on national economic by time series model Autoregressive .This model is a simple and practical model in financial time series analysis which has relatively high for forecast accuracy. The paper utilizes monthly secondary data from web site www.bseindia.com through the statistical analysis of BSE from the year of, January 2, 2012 to October, 12, 2017. ADF unit root test of Autocorrelation function ACF diagram and partial autocorrelation function PACF diagram to the prediction of model. The prediction of the models showed that the ARIMA model is valid and forecast accuracy is relative high.

Keywords

BSE- Bombay Stock India, ARIMA-Autoregressive Integrated Moving Average, ACF-Autocorrelation Function,PACF- Partial Autocorrelation Function, HPCL- Hindustan petroleum Corporation Limited ,IOCL- Indian Oil Corporation Limited, BPCL- Bharat Petroleum Corporation Limited, ONGC- Oil and Natural Gas corporation.

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