Predictive modeling of return volatility in sustainable investments: An in-depth analysis of ARIMA, GARCH, and ARCH techniques-Reference-Cited by-同舟云学术

Predictive modeling of return volatility in sustainable investments: An in-depth analysis of ARIMA, GARCH, and ARCH techniques

Published:2024-02-15 Issue:1 Volume:21 Page:213-228
ISSN:1810-4967
Container-title:Investment Management and Financial Innovations
language:
Short-container-title:Investment Management and Financial Innovations

Author:

G. Srihari¹^ORCID,T. Kusuma²^ORCID,D. B. Chetanraj³^ORCID,Kumar J. P. Senthil⁴^ORCID,Aluvala Ravi⁵^ORCID

Affiliation:

1. Ph.D., Associate Professor, Department of CSE, School of Technology, The Apollo University, Chittoor, India

2. Ph.D., Assistant Professor, Department of Commerce, School of Management, Mohan Babu University, Tirupati, India

3. Research Scholar, Department of Accounting and Finance, GITAM School of Business, GITAM University, India

4. Associate Professor, Department of Finance, GITAM School of Business, GITAM University, India

5. Ph.D., Professor, MBA Department, Mahatma Gandhi University, Nalgonda, India

Abstract

This paper aims to forecast the stock price and analyze the return volatility of India’s top three socially responsible companies. This study used ARIMA and GARCH models to forecast the stock price and analyze return volatility. For the analysis, the required time series data are collected from Yahoo Finance from 01-08-2012 to 29-07-2022 of the companies’ Monthly and daily closing stock prices. The socially responsible companies are selected based on India’s sustainability indices. The findings of the study show that the ARIMA (9,1,9) model for HDFC Ltd, ARIMA (10,1,7) for Reliance Industries Ltd, and ARIMA (2,1,2) are suitable models to forecast the stock price. Also, the study’s findings forecasted stock prices from August 2022 to July 2023. The forecasted stock price for July 2023 of HDFC Ltd is INR 2,613.78, Reliance industries Ltd is INR 3,073.75, and ICICI Bank Ltd is INR 857.73. Reliance Industries Ltd (σ2t = 0.9270586) is less volatile, and HDFC Ltd (σ2t = 0.9665041) is more volatile among the three companies, ICICI Bank Ltd (σ2t = 0.9507527) is the second high volatile company. The present study is limited to the top three companies that were selected from the three sustainability indices of BSE. The study is also limited to analysis of past volatility of stock price returns.

Publisher

LLC CPC Business Perspectives

Link

https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19644/IMFI_2024_01_Srihari.pdf

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