A Study on Forecasting Modelling on Futures and Spot Prices with Special Reference to Selected Nse Indices

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Published Jun 1, 2017
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Volume 7, Issue 1, June 2017

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L. S. Sridhar
Asst. Professor, Department of Commerce, St. Joseph's College of Commerce, Bangalore 560 02
M. Sumathy
Professor & Dean Department of Commerce, Bharathiar University, Coimbatore - 641 046

Abstract

The model used Autoregressive Integrated Moving Average (ARIMA) modelling made to refine the model by using moving averages to smoothen the raw data. In addition, an effective way to account for the general market impact by incorporating the Nifty indices with further testing through the serial correlation. The data for the study consist of far month's contract futures prices and spot prices. To forecast the prices, we applied ARIMA model. This research attempts, to forecast the equity index market through the frame general equation. The ARIMA model fit the lags (p,d,q) 21 3 model for Futures and ARIMA (p, d, q) 2 1 2 model. The stock equity index futures were alone taken in to account, the indices which were used for analysis namely, CNX Nifty, Bank Nifty, and CNX IT. The index futures prices were obtained on the basis of the near month (T' month). Theboth the model result is shown the CNX Nifty Futures and Spot gets thelow difference with the standard limits, the high difference registered in CNX IT Futures and Spot market Bank Nifty Futures and Spot have registered quite low difference compared to the CNXITFutures and Spot prices.

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How to Cite
Sridhar, L. S., & Sumathy, M. (2017). A Study on Forecasting Modelling on Futures and Spot Prices with Special Reference to Selected Nse Indices. SJCC Management Research Review, 61–77. Retrieved from http://www.sjccmrr.res.in/index.php/sjcc/article/view/25

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