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

Financial Innovation

Table 3 Akaike Information Criteria value (AIC)

Companies	Selected ARMA model	AIC value
Adani Ports & SEZ	(Akaike 1974; Akaike 1979)(0,0)	2.419996205
Asian Paints	(0,1)(0,2)	1.18300953
Axis Bank	(Akaike 1974; Akaike 1976)(0,0)	1.412734755
BhartiAirtel	(Akaike 1974; Akaike 1979)(0,0)	1.126284533
Cipla	(0,2)(0,0)	1.036260176
Coal India	(2,0)(0,0)	1.383862705
Dr. Reddy’s Laboratories	(Akaike 1974)(0,0)	1.021199203
HDFC Bank	(4,0)(0,0)	0.865074133
Hero MotoCorp	(Akaike 1973; Akaike 1976)(0,0)	1.398471031
Hindustan Unilever	(0,2) (Akaike 1973)	0.912515275
Housing Development Finance Corporation	(0,0)(0,0)	3.890160664
ICICI Bank	(0,2) (Akaike 1973; Akaike 1974)	0.576514289
Infosys	(Akaike 1976) (Akaike 1973)	0.784789316
ITC	(0,2)(0,0)	1.75706519
Kotak Mahindra Bank	(Akaike 1973; Akaike 1974)(0,0)	1.126330283
Larsen & Toubro	(Akaike 1974)(0,0)	1.669414571
Lupin	(1,0)(0,0)	1.201107512
Mahindra & Mahindra	(Akaike 1979)(0,0)	1.26508819
Maruti Suzuki	(0,1)(0,0)	1.595029239
NTPC	(Akaike 1974; Akaike 1976) (Akaike 1973; Akaike 1974)	0.916387604
Oil and Natural Gas Corporation	(0,1)(1,0)	2.473119679
Power Grid Corporation of India	(1,0)(0,0)	1.028937003
Reliance Industries	(Akaike 1974)(0,1)	0.472093637
State Bank of India	(0,1)(0,0)	2.040875765
Sun Pharmaceutical	(Akaike 1974; Akaike 1979)(1,0)	1.113411517
Tata Consultancy Services	(Akaike 1974; Akaike 1976) (Akaike 1973)	1.105677727
Tata Motors	(Akaike 1974; Akaike 1976) (Akaike 1973)	1.542142809
Tata Motors DVR	(Akaike 1974; Akaike 1976)(0,2)	1.827594151
Tata Steel	(Akaike 1974)(0,0)	1.449933246
Wipro	(0,0)(1,0)	3.207891726