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The above graph shows that the data chosen for the study is continuous and that
there is no gap/break in the data.
Correlogram of Sensex
From the unit root test we can say that, there is 28.76% probability that the series
has a unit root.
Unit root tests in isolation are inconclusive, but along with the correlogram, they
give an insight into the presence of trend in the data being studied. Here, both
the unit root test and the correlogram suggest that trend is present in the data
being studied.
As can be seen from the correlogram, white noise has been achieved directly after
detrending.
Lets check from the Unit Root test of the Sensex first differenced.
We can see the presence of various variables here from this correlogram. Lets
prepare a model through which we can run the regression and check the results.
Now, we have prepared a model in which we have accounted for all the relevant
variables for Sensex. Before going for forecasting lets have a look at the
correlogram to check whether white noise has been achieved or not.
As can be seen from the above correlogram we have been able to achieve the
White Noise process. So now we can go for forecasting.
As we can see that the Mean Absolute Percent Error for our model is pretty low
i.e. 0.78%. It shows that our model captures the Sensex value with enough
precision. Lets have a look at the graph to see the pattern.
In our original dataset we had left blank the values of Sensex from 01/09/2015 to
10/09/2015. Lets have a look at the values our model has given for the following
dates.