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Table 5 Forecasted beta values of companies of BSE Sensex using ARIMA for the financial year 2018–19

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

Date

Apr

May

Jun

July

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Average

Company

Adani Ports & SEZ

2.65

2.83

2.70

2.85

2.96

2.88

3.04

3.10

3.07

3.22

3.26

3.26

2.99

ICICI Bank

1.80

1.55

1.68

2.09

1.77

1.71

1.52

1.69

1.67

1.57

1.85

1.60

1.71

Tata Motors DVR

1.81

1.56

1.29

1.13

1.42

1.99

1.90

1.65

1.35

1.50

1.94

1.82

1.61

Tata Motors

1.77

1.66

1.68

1.49

1.45

1.46

1.39

1.61

1.64

1.70

1.69

1.61

1.60

State Bank of India

1.50

1.51

1.51

1.52

1.52

1.53

1.53

1.53

1.54

1.54

1.55

1.55

1.53

Tata Steel

1.38

1.07

1.22

1.38

1.10

1.19

1.38

1.13

1.16

1.37

1.17

1.15

1.23

Larsen & Toubro

1.21

1.27

1.31

1.33

1.31

1.27

1.21

1.15

1.10

1.07

1.07

1.10

1.20

Axis Bank

1.23

1.14

1.24

1.16

1.21

1.20

1.17

1.23

1.15

1.22

1.18

1.19

1.19

Maruti Suzuki

1.03

1.04

1.04

1.04

1.05

1.05

1.06

1.06

1.06

1.07

1.07

1.07

1.05

Reliance Industries

0.98

1.00

1.04

1.07

1.07

1.05

1.02

1.01

1.01

1.03

1.05

1.05

1.03

Asian Paints

1.01

0.96

0.97

1.04

1.08

1.05

0.81

1.07

1.12

0.86

1.14

1.22

1.03

Hero MotoCorp

0.94

0.94

0.95

0.95

0.96

0.96

0.97

0.97

0.97

0.98

0.98

0.99

0.96

Mahindra & Mahindra

0.96

0.86

0.99

0.99

1.00

0.99

0.92

0.96

0.92

0.99

0.97

0.99

0.96

Sun Pharmaceutical

0.70

0.99

0.73

0.96

0.78

0.93

0.83

0.90

0.89

0.86

0.93

0.83

0.86

Oil and Natural Gas Corporation

0.84

0.85

0.84

0.88

0.87

0.85

0.83

0.87

0.87

0.91

0.82

0.85

0.86

HDFC Bank

0.82

0.82

0.83

0.83

0.83

0.83

0.83

0.83

0.83

0.83

0.83

0.83

0.83

Kotak Mahindra Bank

0.80

0.74

0.78

0.74

0.77

0.74

0.76

0.73

0.74

0.73

0.73

0.72

0.75

Cipla

0.73

0.74

0.74

0.74

0.74

0.75

0.75

0.75

0.76

0.76

0.76

0.76

0.75

BhartiAirtel

0.73

0.73

0.76

0.74

0.73

0.76

0.74

0.74

0.75

0.75

0.74

0.75

0.74

NTPC

0.89

0.68

0.74

0.69

0.86

0.65

0.80

0.48

0.78

0.74

0.73

0.63

0.72

ITC

0.71

0.71

0.71

0.71

0.71

0.71

0.71

0.71

0.71

0.71

0.71

0.71

0.71

Coal India

0.68

0.68

0.68

0.68

0.68

0.68

0.68

0.68

0.68

0.68

0.68

0.68

0.68

Power Grid Corporation of India

0.64

0.64

0.64

0.64

0.64

0.64

0.64

0.64

0.64

0.64

0.64

0.64

0.64

Infosys

0.55

0.52

0.66

0.48

0.72

0.65

0.63

0.68

0.50

0.67

0.76

0.56

0.62

Lupin

0.51

0.51

0.51

0.51

0.51

0.51

0.51

0.51

0.51

0.51

0.51

0.51

0.51

Wipro

0.49

0.48

0.46

0.49

0.49

0.47

0.47

0.48

0.49

0.47

0.46

0.49

0.48

Dr. Reddy’s Laboratories

0.47

0.48

0.49

0.49

0.49

0.48

0.46

0.45

0.43

0.41

0.40

0.39

0.45

Hindustan Unilever

0.36

0.44

0.37

0.45

0.39

0.41

0.51

0.62

0.45

0.48

0.43

0.49

0.45

Tata Consultancy Services

0.39

0.38

0.48

0.38

0.46

0.49

0.38

0.42

0.44

0.35

0.60

0.34

0.43

Housing Development Finance Corporation

0.29

0.29

0.29

0.29

0.29

0.29

0.29

0.29

0.29

0.29

0.29

0.29

0.29

  1. Source: Compiled by authors