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E-ISSN: 2617-5762|P-ISSN: 2617-5754
2018, Vol. 1, Issue 2
Forecasting of Maruti Suzuki returns using ARCH/GARCH model
Ramita
Time Series Modelling has been used to forecast the returns of Maruti Suzuki Ltd. The order of the best ARIMA Model has been found (1,0,2) for estimating the Mean Equation. After estimating it, it has been found that heteroskedasticity effect was present and Hence, Variance equation has been estimated using ARCH/GARCH Model. The graphs of returns of Maruti Suzuki Ltd has been compared with forecasted Maruti Suzuki returnsand data has been showed.
Fig. 1: Mean Equation
Fig. 2: Model Identification
Pages : 24-27 | 2713 Views | 1604 Downloads
How to cite this article:
Ramita. Forecasting of Maruti Suzuki returns using ARCH/GARCH model. Int J Res Finance Manage 2018;1(2):24-27. DOI: 10.33545/26175754.2018.v1.i2a.11
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