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Abstract
This paper would employ Box Jenkins Methodology (ARIMA) for modeling and forecasting Bank Nifty. Bank Nifty index was launched in 2003 in order to capture movements of banking industry. Time series data of Bank Nifty is taken from the website of National Stock exchange. The data was first made stationary in order to arrive at the conclusions. An appropriate model is selected on the basis of evaluation and diagnosis of data. The selection criteria for finalizing the model is AIC and SC and the final model came out to be (2,1,0) .Residuals of the series were found white noise in nature. Model explained that series could be forecasted on the basis of auto regression of two lags.