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

Financial Innovation

Table 6 Summary results of Auto ARIMA

Companies	R²	S.E. of reg	Schwarz criterion	F-statistic	Durbin-Watson stat	Prob (F-Stat)
Adani Ports & SEZ	0.84	0.74	2.62	74.82	1.80	0.000000
Asian Paints	0.56	0.42	1.30	36.25	1.94	0.000000
Axis Bank	0.28	0.47	1.58	7.42	2.04	0.000001
BhartiAirtel	0.17	0.41	1.31	3.32	1.98	0.003018
Cipla	0.36	0.39	1.13	21.23	1.87	0.000000
Coal India	0.07	0.47	1.51	1.72	1.96	0.170378
Dr. Reddy’s Laboratories	0.14	0.39	1.16	3.67	2.05	0.004048
HDFC Bank	0.19	0.36	1.00	5.31	1.97	0.000199
Hero MotoCorp	0.56	0.46	1.54	28.38	1.99	0.000000
Hindustan Unilever	0.11	0.37	1.05	2.80	2.02	0.019980
Housing Development Finance Corporation	0.00	1.67	3.90	Not-fit	1.85	Not-fit
ICICI Bank	0.43	0.31	0.78	14.21	2.00	0.0000000
Infosys	0.27	0.32	1.02	4.59	1.95	0.0000380
ITC	0.09	0.57	1.85	3.63	1.96	0.0151640
Kotak Mahindra Bank	0.49	0.40	1.24	27.44	2.01	0.0000000
Larsen & Toubro	0.12	0.53	1.81	3.20	1.84	0.0096880
Lupin	0.13	0.44	1.27	8.40	2.03	0.0003900
Mahindra & Mahindra	0.20	0.42	1.50	2.99	1.87	0.0031940
Maruti Suzuki	0.50	0.52	1.67	58.24	1.99	0.0000000
NTPC	0.31	0.35	1.15	5.37	2.03	0.0000040
Oil and Natural Gas Corporation	0.44	0.81	2.57	29.95	1.91	0.0000000
Power Grid Corporation of India	0.05	0.40	1.10	2.83	2.02	0.0631510
Reliance Industries	0.23	0.29	0.63	5.66	1.86	0.0000360
State Bank of India	0.50	0.65	2.11	58.51	2.00	0.0000000
Sun Pharmaceutical	0.55	0.39	1.32	16.50	2.07	0.0000000
Tata Consultancy Services	0.54	0.39	1.35	15.97	1.94	0.0000000
Tata Motors	0.52	0.49	1.75	14.75	2.02	0.0000000
Tata Motors DVR	0.42	0.59	2.14	7.60	2.00	0.0000000
Tata Steel	0.08	0.48	1.59	1.91	2.02	0.0983130
Wipro	0.04	1.19	3.28	2.33	1.92	0.1014750