Forecasting stock market prices using mixed ARIMA model: a case study of Indian pharmaceutical companies

  • Received November 11, 2020;
    Accepted January 18, 2021;
    Published January 22, 2021
  • Author(s)
    ORCID ,
    E-mail:
    Iqbal Thonse Hawaldar
    ORCID Researcher ID , ORCID , ORCID
  • DOI
    http://dx.doi.org/10.21511/imfi.18(1).2021.04
  • Article Info
    Volume 18 2021, Issue #1, pp. 42-54
  • TO CITE АНОТАЦІЯ
  • Cited by
    3 articles
  • 257 Views
  • 33 Downloads

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License

Many investors in order to predict stock prices use various techniques like fundamental analysis and technical analysis and sometimes rely on the discussions provided by various stock market analysts. ARIMA is a part of time-series analysis under prediction algorithms, and this paper attempts to predict the share prices of selected pharmaceutical companies in India, listed under NIFTY100, using the ARIMA model. A sample size of 782 time-series observations from January 1, 2017 to December 31, 2019 for each selected pharmaceutical firm has been considered to frame the ARIMA model. ADF test is used to verify whether the data are stationary or not. For ARIMA model estimation, significant spikes in the correlogram of ACF and PACF have been observed, and many models have been framed taking different AR and MA terms for each selected company. After that, 5 best models have been selected, and necessary inculcation of various AR and MA terms has been made to adjust the models and choose the best adjusted ARIMA model for each firm based on Volatility, adjusted R-squared, and Akaike Information Criterion. The results could be used to analyze the stock prices and their prediction in-depth in future research efforts.

view full abstract hide full abstract
    • Figure 1. Line graphs of actual and forecasted price from October 1, 2019 to December 31, 2019
    • Table 1. The results of the best 5 ARIMA models out of 100 models for Sun Pharmaceutical Industries Ltd.
    • Table 2. Results of the best 4 adjusted ARIMA models for Sun Pharmaceutical Industries Ltd.
    • Table 3. Result of the selected model for Sun Pharmaceutical Industries Ltd.
    • Table 4. Results of the best 5 ARIMA models out of 81 models for Lupin Ltd.
    • Table 5. Results of the best 5 adjusted ARIMA models for Lupin Ltd.
    • Table 6. Result of the selected model for Lupin Ltd.
    • Table 7. Results of best 5 ARIMA models out of 144 models for Dr. Reddy’s Laboratories
    • Table 8. Results of best 5 adjusted ARIMA models for Dr. Reddy’s Laboratories
    • Table 9. Result of the selected model for Dr. Reddy’s Laboratories
    • Table A1. Actual and forecasted prices of Sun Pharmaceutical Industries Ltd., Lupin Ltd. and Dr. Reddy’s Laboratories from October 1, 2019 to December 31, 2019
    • Conceptualization
      Bharat Kumar Meher, Iqbal Thonse Hawaldar , Ramona Birau
    • Data curation
      Bharat Kumar Meher, Cristi Spulbar
    • Investigation
      Bharat Kumar Meher, Ramona Birau
    • Methodology
      Bharat Kumar Meher, Iqbal Thonse Hawaldar , Cristi Spulbar
    • Writing – original draft
      Bharat Kumar Meher, Ramona Birau
    • Formal Analysis
      Iqbal Thonse Hawaldar , Ramona Birau
    • Project administration
      Iqbal Thonse Hawaldar
    • Writing – review & editing
      Iqbal Thonse Hawaldar , Cristi Spulbar
    • Validation
      Cristi Spulbar, Ramona Birau