Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex

Challa, Madhavi Latha; Malepati, Venkataramanaiah; Kolusu , Siva Nageswara Rao

doi:10.1186/s40854-018-0107-z

Financial Innovation

Table 1 Average year-wise beta values of companies listed in BSE Sensex during 2007–2017

From: Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex

Date	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	Average
Tata Motors DVR	0	4.78	0.48	0.73	1.25	1.48	1.05	1.75	1.4	1.41	1.43
ICICI Bank	1.08	1.45	1.29	1.32	1.32	1.58	1.46	1.46	1.36	1.62	1.39
Tata Steel	1.05	1.09	1.36	1.14	1.21	1.28	1.11	1.28	1.4	1.36	1.23
State Bank of India	1.14	1.08	1.03	0.87	1.15	1.42	1.18	1.31	1.3	1.56	1.20
Tata Motors	0.94	0.64	1.44	1.14	1.2	1.34	1.01	1.49	1.37	1.39	1.20
Axis Bank	0.53	1.46	1.1	1.08	1.23	1.34	1.46	1.39	1.13	1.24	1.20
Larsen & Toubro	1.14	1.08	1.26	0.84	1.2	1.48	1.37	1.29	1.16	1.12	1.19
Kotak Mahindra Bank	1.37	1.36	1.12	0.87	1.2	1.03	1.33	0.92	0.92	0.72	1.08
Adani Ports & SEZ	1.59	0.56	0.69	0.89	0.71	0.95	0.75	1.69	1.05	1.61	1.05
Reliance Industries	1.24	1.16	0.99	0.87	1.14	0.9	1.1	1.11	1.07	0.74	1.03
Mahindra & Mahindra	0.84	0.84	1.13	0.93	1.13	0.78	0.89	0.93	1.04	1.13	0.96
HDFC Bank	1.02	0.99	0.63	0.81	0.93	0.96	1.29	0.93	0.69	0.74	0.90
Oil and Natural Gas Corporation	0.39	0.54	0.7	0.5	0.7	1.09	1.16	1.31	1.16	0.62	0.82
Maruti Suzuki	0.75	0.66	0.6	0.54	0.73	0.69	0.71	1	0.81	1.17	0.77
BhartiAirtel	0.97	0.78	0.56	0.64	0.81	0.72	1.13	0.45	0.57	0.81	0.74
NTPC	1.04	0.68	0.54	0.38	0.74	0.68	0.69	1.07	0.69	0.86	0.74
ITC	0.48	0.59	0.84	0.53	0.55	0.73	0.9	0.62	0.91	0.94	0.71
Coal India				0.68	0.53	0.47	0.63	1.1	0.75	0.6	0.68
Power Grid Corporation of India	1.13	0.7	0.52	0.36	0.54	0.69	0.63	0.74	0.49	0.86	0.67
Tata Consultancy Services	0.67	0.95	0.62	0.74	0.87	0.57	0.62	0.49	0.55	0.45	0.65
Hero MotoCorp	0.6	0.3	0.58	0.55	0.53	0.53	0.74	0.72	0.82	1.01	0.64
Infosys	0.64	0.7	0.56	0.63	0.79	0.62	0.43	0.3	0.82	0.69	0.62
Cipla	0.34	0.41	0.5	0.44	0.49	0.57	0.44	0.66	0.9	0.51	0.53
Lupin	0.58	0.52	0.25	0.59	0.36	0.37	0.32	0.41	0.78	0.87	0.51
Sun Pharmaceutical	0.32	0.28	0.37	0.48	0.46	0.41	0.54	0.34	0.94	0.86	0.50
Wipro	−0.14	0.63	0.92	0.67	0.73	0.54	0.34	0.38	0.48	0.43	0.50
Asian Paints	0.21	0.09	0.25	0.19	0.25	0.73	0.72	0.85	0.71	0.82	0.48
Hindustan Unilever	0.5	0.38	0.37	0.41	0.55	0.53	0.6	0.15	0.58	0.45	0.45
Dr. Reddy’s Laboratories	0.34	0.42	0.4	0.27	0.49	0.26	0.52	0.27	0.67	0.56	0.42
Housing Development Finance Corporation	0.55	0.48	0.43	0.43	0.49	−0.79	0.6	0.49	0.72	−0.46	0.29

Source: Compiled by authors

Back to article page