Question: Consider the auto NSEI. Adjusted 27 med ARIMA models for the prices and returns of (a) DRREDDYS.NS.adjusted, (b) MARUTI.NS.adjusted a= each of the models, (i)
Consider the auto NSEI. Adjusted 27 med ARIMA models for the prices and returns of (a) DRREDDYS.NS.adjusted, (b) MARUTI.NS.adjusted a= each of the models, (i) identify the best order ARIMA model and write its equation (ii) identify the second best ARIMA model and write the time series equation (ii) Provide necessary interpretation on the RMSE of the models. Write answer head (Prices) ## DRREDDY.NS. Adjusted ITC.NS. Adjusted ULTRACEMCO.NS. Adjusted ## 2017-01-02 2936. 205 201.9184 3318.781 ## 2017-01-03 2925.731 203.9296 3274.827 ## 2017-01-04 2943.728 205.6894 3249.921 ## 2017-01-05 2986.533 206.7788 3330.102 ## 2017-01-06 3008.339 203.3849 3270.939 ## 2017-01-09 2914.113 206.0246 3240.521 ## MARUTI.NS. Adjusted JSWSTEEL.NS. Adjusted TITAN.NS. Adjusted ## 2017-01-02 5164.377 147.3485 324.6324 ## 2017-01-03 5204.437 148.2726 338.4363 ## 2017-01-04 5198.532 147.0059 349.6154 ## 2017-01-05 5324.004 158.3660 348.0600 ## 2017-01-06 5305.674 157.9603 345.2896 ## 2017-01-09 5346.254 158.7267 344.7063 NSEI. Adjusted ## 2017-01-02 8179.50 ## 2017-01-03 8192.25 ## 2017-01-04 8190.50 ## 2017-01-05 8273.80 ## 2017-01-06 8243.80 ## 2017-01-09 8236.05 ## head (returns) ## DRREDDY.NS. Adjusted ITC.NS. Adjusted ULTRACEMCO.NS. Adjusted ## 2017-01-03 -0.003573609 0.009911409 -0.013332534 ## 2017-01-04 0.006132631 0.008592481 -0.007634281 ## 2017-01-05 0.014436190 0.005282441 0.024372069 ## 2017-01-06 0.007275130 -0.016549634 -0.017925787 ## 2017-01-09 -0.031822803 0.012895610 -0.009343046 ## 2017-01-10 -0.006014260 0.012530382 -0.003774034 ## MARUTI.NS. Adjusted JSWSTEEL.NS. Adjusted TITAN.NS. Adjusted 3 0.006252274 -0.008580014 0.074436239 -0.002565074 0.004839943 0.013540175 0.041642222 0.032497912 -0.004458958 -0.007991441 -0.001690686 0.019133404 ## 2017-01-03 0.007726972 ## 2017-01-04 -0.001135306 ## 2017-01-05 0.023849498 ## 2017-01-06 -0.003448853 ## 2017-01-09 0.007619329 ## 2017-01-10 0.002885469 ## NSEI. Adjusted ## 2017-01-03 0.0015575614 ## 2017-01-04 -0.0002136393 ## 2017-01-05 0.0101189260 ## 2017-01-06 -0.0036324931 ## 2017-01-09 -0.0009405426 ## 2017-01-10 0.0063601932 Consider the auto NSEI. Adjusted 27 med ARIMA models for the prices and returns of (a) DRREDDYS.NS.adjusted, (b) MARUTI.NS.adjusted a= each of the models, (i) identify the best order ARIMA model and write its equation (ii) identify the second best ARIMA model and write the time series equation (ii) Provide necessary interpretation on the RMSE of the models. Write answer head (Prices) ## DRREDDY.NS. Adjusted ITC.NS. Adjusted ULTRACEMCO.NS. Adjusted ## 2017-01-02 2936. 205 201.9184 3318.781 ## 2017-01-03 2925.731 203.9296 3274.827 ## 2017-01-04 2943.728 205.6894 3249.921 ## 2017-01-05 2986.533 206.7788 3330.102 ## 2017-01-06 3008.339 203.3849 3270.939 ## 2017-01-09 2914.113 206.0246 3240.521 ## MARUTI.NS. Adjusted JSWSTEEL.NS. Adjusted TITAN.NS. Adjusted ## 2017-01-02 5164.377 147.3485 324.6324 ## 2017-01-03 5204.437 148.2726 338.4363 ## 2017-01-04 5198.532 147.0059 349.6154 ## 2017-01-05 5324.004 158.3660 348.0600 ## 2017-01-06 5305.674 157.9603 345.2896 ## 2017-01-09 5346.254 158.7267 344.7063 NSEI. Adjusted ## 2017-01-02 8179.50 ## 2017-01-03 8192.25 ## 2017-01-04 8190.50 ## 2017-01-05 8273.80 ## 2017-01-06 8243.80 ## 2017-01-09 8236.05 ## head (returns) ## DRREDDY.NS. Adjusted ITC.NS. Adjusted ULTRACEMCO.NS. Adjusted ## 2017-01-03 -0.003573609 0.009911409 -0.013332534 ## 2017-01-04 0.006132631 0.008592481 -0.007634281 ## 2017-01-05 0.014436190 0.005282441 0.024372069 ## 2017-01-06 0.007275130 -0.016549634 -0.017925787 ## 2017-01-09 -0.031822803 0.012895610 -0.009343046 ## 2017-01-10 -0.006014260 0.012530382 -0.003774034 ## MARUTI.NS. Adjusted JSWSTEEL.NS. Adjusted TITAN.NS. Adjusted 3 0.006252274 -0.008580014 0.074436239 -0.002565074 0.004839943 0.013540175 0.041642222 0.032497912 -0.004458958 -0.007991441 -0.001690686 0.019133404 ## 2017-01-03 0.007726972 ## 2017-01-04 -0.001135306 ## 2017-01-05 0.023849498 ## 2017-01-06 -0.003448853 ## 2017-01-09 0.007619329 ## 2017-01-10 0.002885469 ## NSEI. Adjusted ## 2017-01-03 0.0015575614 ## 2017-01-04 -0.0002136393 ## 2017-01-05 0.0101189260 ## 2017-01-06 -0.0036324931 ## 2017-01-09 -0.0009405426 ## 2017-01-10 0.0063601932
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