Stock Market Index Prediction of SBI in India using ARIMA Models

The work presented in this paper constitutes a contribution to modelling and forecasting or predicting the Stock prices of state bank of India using Box-Jenkins Auto Regressive integrated moving average models. The adequate model is selected according to the performance criterion such as Akaike information criterion (AIC), Schwartz Bayesian criterion (SBC). The final selected model is ARIMA (0,1,0) × (1,0,0)5 and it is validated by another historical stock prices data under the same conditions. The model performance is on training and test samples measured using mean Absolute Error (MAE), mean square error (MSE), mean absolute and percentage error (MAPE), Root Mean square error (RMSE).