Abstract

Ayisha, one of the young and promising investment advisors of Alpha Investments encounters a valuable client Samlinson E (Sam), who wants to decide which shares must be increased in his investment portfolio using the bonus he received during the year. Being an informed investor, Sam not only asks Ayisha for picking the stocks but also wants to learn the process of share price forecasting. Hence, Ayisha with the help of her colleague Bala tries to understand the forecasting process to help out Sam the next day. Using R software, Bala explains to Ayisha the theoretical aspects and estimation of time series models to predict share price movements and volatility. The major focus of the case is explaining the time series forecasting for share price and volatility prediction. The case is written as a dialogue between Ayisha, Sam, and Bala, the conceptual aspects are explained through their conversation.

Learning objectives

1. To study the conceptual aspects of the time series forecasting models.
2. To analyze the time-series data and understand the time series nature.
3. To built a time series model and forecast share prices using R software.
4. To estimate the times series model and forecast volatility of shares using R software.