A Study and Forecast of MCX Comdex Commodity Index Using ARIMA Model

International Journal for Research in Engineering Application & Management (IJREAM), Vol-05, Issue-05, Aug 2019. pp 211-216

6 Pages Posted: 11 Jun 2021

See all articles by Rajesh Sadhwani

Rajesh Sadhwani

Assistant Professor, Indukaka Ipcowala Institute of Management, CHARUSAT Off. Nadiad-Petlad Highway, Changa 388 421, Anand, Gujarat, India.

Date Written: June 1, 2019

Abstract

The purpose of this research paper is to understand the MCX Comdex index, the paper also attempts to forecast the index level, the level of index reflects the change in commodity prices. The index is based on commodity futures prices of an exchange. To study the same daily closing prices of Comdex for last twelve years has been considered. The data are taken from MCX website. Analysis shows that commodities prices have changed substantially since 2007. To forecast the MCX Comdex value ARIMA model has been used. It indicates the range bound or constant increase in commodity prices in near future considering 95% of confidence interval.

Keywords: Commodities, MCX, Comdex, ARIMA, Forecast etc.

JEL Classification: G13

Suggested Citation

Sadhwani, Rajesh, A Study and Forecast of MCX Comdex Commodity Index Using ARIMA Model (June 1, 2019). International Journal for Research in Engineering Application & Management (IJREAM), Vol-05, Issue-05, Aug 2019. pp 211-216, Available at SSRN: https://ssrn.com/abstract=3857848

Rajesh Sadhwani (Contact Author)

Assistant Professor, Indukaka Ipcowala Institute of Management, CHARUSAT Off. Nadiad-Petlad Highway, Changa 388 421, Anand, Gujarat, India. ( email )

CHARUSAT Off. Nadiad-Petlad Highway
Changa,
Anand, GA 388 421
India

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