TY - JOUR AU - Challa, Madhavi Latha AU - Malepati, Venkataramanaiah AU - Kolusu, Siva Nageswara Rao PY - 2020 DA - 2020/11/15 TI - S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA JO - Financial Innovation SP - 47 VL - 6 IS - 1 AB - This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including variance ratio, Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski Phillips Schmidt and Shin; and Autoregressive Integrated Moving Average (ARIMA). The analysis forecasts daily stock returns for the S&P BSE Sensex and S&P BSE IT time series, using the ARIMA model. The results reveal that the mean returns of both indices are positive but near zero. This is indicative of a regressive tendency in the long-term. The forecasted values of S&P BSE Sensex and S&P BSE IT are almost equal to their actual values, with few deviations. Hence, the ARIMA model is capable of predicting medium- or long-term horizons using historical values of S&P BSE Sensex and S&P BSE IT. SN - 2199-4730 UR - https://doi.org/10.1186/s40854-020-00201-5 DO - 10.1186/s40854-020-00201-5 ID - Challa2020 ER -