Comparison of stock market prediction performance of ARIMA and RNN-LSTM model – A case study on Indian stock exchange

Kumar, J. P. Senthil; Sundar, Rajesh; Ray, Anuradha

doi:10.1063/5.0154124

Cited by 2 publications

(1 citation statement)

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“…The findings of Reddy (2019) are in support of the findings of the above study, the best fitted model supports the ability of the ARIMA model to accurately anticipate the BSE CLOSE and NSE CLOSE on a short-term basis, and they will help people choose profitable investment options. Kumar et al (2021) compared two different models for predicting stock market performance. The study's findings demonstrated that, in the short term, anticipating future time series, ARIMA performed better than the RNN-LSTM model.…”

Section: Literature Reviewmentioning

confidence: 99%

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

G.,

T.,

D. B.

et al. 2024

Investment Management and Financial Innovations

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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.

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Section: Literature Reviewmentioning

confidence: 99%