( ISSN 2277 - 9809 (online) ISSN 2348 - 9359 (Print) ) New DOI : 10.32804/IRJMSH

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FORECASTING CLOSING PRICE OF SENSEX USING ARIMA MODEL

    1 Author(s):  VICKEY MEHRIYA

Vol -  8, Issue- 5 ,         Page(s) : 158 - 171  (2017 ) DOI : https://doi.org/10.32804/IRJMSH

Abstract

Stock price prediction is an important topic in finance and economics which has spurred the interest of researchers over the years to develop better predictive models. The autoregressive integrated moving average (ARIMA) models have been explored in literature for time series prediction.This paper presents a computational approach for predicting the S&P SENSEX Index. A ARIMA based model has been used in predicting the direction of the movement of the closing value of the index. The model has used the preprocessed data set of closing value of S&P SENSEX Index. The data set encompassed the trading days from 1st January, 2013 to 1st January, 2015. Accuracy of the performance of the neural network is compared using various out of sample performance measures and the predicted values are seen to exactly match the actual values showing high degree of accuracy.

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