O. P.

Jindal Global University

MBA DFB (Upgrad)
Financial Analytics
End Term Examinations
Maximum Marks: 50 Time: 7 Days
Instructions to students:
1. This is a take-home examination.
2. You are advised to desist from copying, as the examiner will evaluate the answers through
plagiarism tool (Turnitin). Any form of dishonesty shall not be tolerated and shall entail
disciplinary action as per Institute norms.
3. After finishing the take-home exam, upload your MS word document and R_Script on the
UMS portal.
4. Examiner will correct MS Word document only. R_Script is just a supporting document
(no marks for it).
5. Students undertaking the examination are requested to adhere to the university norms related
to examinations.
6. Write commands in the white space after questions. You can add extra space if required.

Q1. Download the daily adjusted close price data for the company mentioned in the table in front
of your name, for the period from Jan 1, 2021, to Dec 31, 2021.

Name Company
Akanksha Mohnot Adani Ports and Special Economic Zone Ltd.
Akhil Sunny Apollo Hospitals Enterprise Ltd.
Akshata Shetty Asian Paints Ltd.
Anisha Gawde Axis Bank Ltd.
ANKUSH GUPTA Bajaj Auto Ltd.
Anshul Anand Chouksey Bajaj Finance Ltd.
Apoorva Sharma Bajaj Finserv Ltd.
Aswath Gopi Krishna Sridhar Bharat Petroleum Corporation Ltd.
Avin Chandra swain Bharti Airtel Ltd.
Avinit Mukherjee Britannia Industries Ltd.
AYUSHI AGRAWAL Cipla Ltd.
D V Krishna Sahaj Coal India Ltd.
Debasish Nayak Divi's Laboratories Ltd.
Dhruv Bhatt Dr. Reddy's Laboratories Ltd.
ESHWAR RAJ Eicher Motors Ltd.
Gaurav Gupta Grasim Industries Ltd.
Krishnakanth Vedagiri HCL Technologies Ltd.
Lahari Kapuganti HDFC Bank Ltd.
 Manthan Hm HDFC Life Insurance Company Ltd.
Mohit Jain Hero MotoCorp Ltd.
NIKHIL S John Hindalco Industries Ltd.
Nikita Fernandes Hindustan Unilever Ltd.
Prabudh Juneja Housing Development Finance Corporation Ltd.
Pranjal Saikia ICICI Bank Ltd.
Raj Tanwar ITC Ltd.
SAKLAIN SHAIKH IndusInd Bank Ltd.
Sayak Chakrabarty Infosys Ltd.
Sheel Shah JSW Steel Ltd.
Shivangi Malik Kotak Mahindra Bank Ltd.
Shruti Borole Larsen & Toubro Ltd.
Sriparna Saha Mahindra & Mahindra Ltd.
SURAJ HT Maruti Suzuki India Ltd.
SUVECHHA MOHANTY NTPC Ltd.
sweedal Andrandes Nestle India Ltd.
Tanmay Parab Oil & Natural Gas Corporation Ltd.
Uzma Belim Power Grid Corporation of India Ltd.
venkat ashish Reliance Industries Ltd.
Venuka Hule SBI Life Insurance Company Ltd.
VIBHOR SURI Shree Cement Ltd.
Vishwas Vishwas State Bank of India
Yasha Bhansali Sun Pharmaceutical Industries Ltd.
Zubin Mehta Tata Consultancy Services Ltd.

Compute continuously compounded returns and estimate these models:

i) Appropriate ARIMA model by using Box-Jenkins methodology [10 Marks]
ii) Appropriate ARCH model [20 Marks]
iii) GARCH (1,1) model [20 Marks]
Also, do one-step ahead forecasting for all these models.