Estimating the opening stock price index for Indian market under the influence of varying crude oil and Dollar values through statistical time series analysis

Abstract

The proposed effort is a research analysis of the effect of various macroeconomic determinants such as price of Oil, Gold price and rate of Exchange (USD to INR) over Indian stock exchange market (we took NSE catalog as a reference for Indian share market). In proposed study, we took recurrent data for time period of 14 years i.e. 2008 to 2022. In proposed work, first of all we established a correlation between various macroeconomic determinants (price of Gold, Oil price and US dollar exchange rate) with NSEI (National Stock Exchange of India). Once correlation is found between these entities, we formulated regression equations to forecast opening value of NSEI centered on historical values of macroeconomic determinants. Here we devised seven different models and concluded the best models amongst them. Then we tested the given results from regression analysis by providing a test data and comparing the results of actual value of NSEI with the predicted value. Finally, we proposed finest prototype to forecast the National Stock Exchange index.