This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including variance ratio, Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski Phillips Schmidt and Shin; and Autoregressive Integrated Moving Average (ARIMA). The analysis forecasts daily stock returns for the S&P BSE Sensex and S&P BSE IT time series, using the ARIMA model. The results reveal that the mean returns of both indices are positive but near zero. This is indicative of a regressive tendency in the long-term. The forecasted values of S&P BSE Sensex and S&P BSE IT are almost equal to their actual values, with few deviations. Hence, the ARIMA model is capable of predicting medium- or long-term horizons using historical values of S&P BSE Sensex and S&P BSE IT.

中文翻译：

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使用 ARIMA 进行 S&P BSE Sensex 和 S&P BSE IT 回报预测

本研究预测了孟买证券交易所 S&P BSE Sensex 和 S&P BSE IT 指数的回报和波动性动态。为实现目标，本研究使用描述性统计；测试包括方差比、Augmented Dickey-Fuller、Phillips-Perron 和 Kwiatkowski Phillips Schmidt 和 Shin；和自回归综合移动平均线 (ARIMA)。该分析使用 ARIMA 模型预测 S&P BSE Sensex 和 S&P BSE IT 时间序列的每日股票回报。结果表明，两个指数的平均回报都是正的，但接近于零。这表明长期存在倒退趋势。S&P BSE Sensex 和 S&P BSE IT 的预测值几乎等于它们的实际值，几乎没有偏差。因此，