Indian Journal of Finance

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A Model to Predict the BSE Index and its Volatality


Affiliations
1 Adjunct Professor, School of Management Technology, International Institute of Information Technology, Pune, Maharashtra, India

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Two models are worked out to predict the BSE index and its volatility. The first model uses the prices of Rupee-US dollar rate and the Gold price in Mumbai, where as the second model uses the trend and AR (p)-ARCH (q) for the prediction. The performance of any stock market - whether it is going up or down is reported in an index, which serves as an important tool for measuring the overall health of the stock market. In most countries, there is more than one index. The BSE index, also called as Sensex compiled in 1986 is India's first index. It is a basket of 30 constituent stocks representing stocks presenting a sample of large, liquid and representative companies. The base year of BSE index is 1978-79 and its base value is 100. The index is widely reported in both domestic and international markets through print as well as electronic media. Due to its wide acceptance amongst the investors, BSE index is regarded to be the pulse of the Indian stock market as it is the language that all investors understand.
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  • A Model to Predict the BSE Index and its Volatality

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Authors

Dr. Sanjeev C. Panandikar
Adjunct Professor, School of Management Technology, International Institute of Information Technology, Pune, Maharashtra, India

Abstract


Two models are worked out to predict the BSE index and its volatility. The first model uses the prices of Rupee-US dollar rate and the Gold price in Mumbai, where as the second model uses the trend and AR (p)-ARCH (q) for the prediction. The performance of any stock market - whether it is going up or down is reported in an index, which serves as an important tool for measuring the overall health of the stock market. In most countries, there is more than one index. The BSE index, also called as Sensex compiled in 1986 is India's first index. It is a basket of 30 constituent stocks representing stocks presenting a sample of large, liquid and representative companies. The base year of BSE index is 1978-79 and its base value is 100. The index is widely reported in both domestic and international markets through print as well as electronic media. Due to its wide acceptance amongst the investors, BSE index is regarded to be the pulse of the Indian stock market as it is the language that all investors understand.