FINANCIAL BUSINESS ANALYTICS

PROJECT
ON
ARIMA & GARCH

Reliance capital ltd.

SUBMITTED TO: SUBMITTED BY:

PROF. SONALI YADAV ROBIN SINGH
(18BSP1912)
SECTION B
 ARIMA
ARIMA test is conducted on the closing stock prices of RELIANCE
CAPITAL. The data which has been taken is from 1st SEP 2018 to 31ST
August 2019.

The data was imported from external excel sheet to Eviews and a
graph was plotted to check whether the data was stationary or not.

This is to identify the appropriate lags for the AR and MA processes

using:

1. Correlogram: The plots of the ACFs and PACFs against the lag
length.

2. Autocorrelation function (ACF)

3. Partial Autocorrelation Function (PACF).

Since the corellogram shows the series is not stationary, we will take
the first difference of the raw data and calculate the ACF and PACF
from the corellogram.

Here, the Auto correlation is significant and it declines very slowly

from lag 1 to 36.

While the PACF 1 lag shows significance and drops immediately.

Most PACFs after 1 lag are not statistically significant. The series is
non stationary.
The series will have AR process as the ACF pattern shoes exponential
decay.

Also, for ARIMA Model as both ACF and PACF shows same pattern in
same direction.As per the analysis done the model which is
selectedis (5,1,5).
GARCH
 NORMAL STUDENT T GED TEST
DISTRIBUTION TEST
NO SERIAL YES YES YES
CORRELATION

NORMALITY NO NO NO
ARCH NO NO NO