Forecasting Share Prices and Volatility of FMCG stocks

Abstract

The Indian stock market is predominant by three sectors namely, service, manufacturing and agriculture. The fast moving consumer goods (FMCG) sector has similarities with both manufacturing and agricultural sectors. Considering the importance of FMCG sector this study is focussed on forecasting the share prices and volatility of FMCG sector stocks. Four large cap stocks from the S&P BSE Index are taken into consideration based on their market capitalization. Share prices are forecasted using ARMA and volatility forecast is performed using GARCH. It is found that the forecasted prices of stocks of FMCG sector are showing a declining trend and the forecasted volatility associated with these stocks are low. The probable reason for this is investors look for considerable risky stocks with high returns (bullish).