Proceedings of the 1st International Conference on Artificial Intelligence, Communication, IoT, Data Engineering and Security, IACIDS 2023, 23-25 November 2023, Lavasa, Pune, India

Research Article

Predictive Modeling of the IT Index: An In-depth Study Using SARIMAX and Market Indicators

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  • @INPROCEEDINGS{10.4108/eai.23-11-2023.2343256,
        author={Abhijeet  Birari and Harshal  Salunkhe and Prajakta  Yawalkar and Jitendrasinh  Jamadar},
        title={ Predictive Modeling of the IT Index: An In-depth Study Using SARIMAX and Market Indicators},
        proceedings={Proceedings of the 1st International Conference on Artificial Intelligence, Communication, IoT, Data Engineering and Security, IACIDS 2023, 23-25 November 2023, Lavasa, Pune, India},
        publisher={EAI},
        proceedings_a={IACIDS},
        year={2024},
        month={3},
        keywords={time series analysis sarimax forecasting moving averages},
        doi={10.4108/eai.23-11-2023.2343256}
    }
    
  • Abhijeet Birari
    Harshal Salunkhe
    Prajakta Yawalkar
    Jitendrasinh Jamadar
    Year: 2024
    Predictive Modeling of the IT Index: An In-depth Study Using SARIMAX and Market Indicators
    IACIDS
    EAI
    DOI: 10.4108/eai.23-11-2023.2343256
Abhijeet Birari1,*, Harshal Salunkhe1, Prajakta Yawalkar1, Jitendrasinh Jamadar1
  • 1: Christ (Deemed to be University), Pune, Lavasa Campus
*Contact email: abhijeet.birari@christuniversity.in

Abstract

Using time series analysis and the SARIMAX (Seasonal AutoRegressive Integrated Moving Average with eXogenous regressors) model, the study intends to investigate the closing prices of the IT Index. To improve the model's predicting accuracy, variables such as moving averages, daily price disparities, the Relative Strength Index (RSI), and the Average True Range (ATR) were created using the index's closing values. The information technology index's final price is significantly influenced by the difference between the high and low prices as well as the 14-day moving average, according to the study's findings. SARIMAX is a useful tool for financial analysis and decision making as it may incorporate external variables and yield encouraging findings that closely resemble real data.