Time Series Analysis of TCS Stock Prices from 2002 to 2021

Synopsis:

On the TCS stock prices from 2004-2021 I’ve performed the following:

• Estimation of trend: free hand curve method, method of moving averages and fitting various mathematical curves. – Effect of elimination of trend on other components of the time series. – Estimation of seasonal component by Method of simple averages and ratio to Trend.

In the report ‘Analysis Report 1’ I have performed a time series analysis of the stock prices of Tata Consultancy Services from 2002 to 2021. I have started by visualising the data. And then I fitted models like an autoregressive integrated moving average (ARIMA) model, Vector autoregression (VAR), SARIMA (seasonal ARIMA) model, Unobserved components model (UCM), and Dynamic Factor models. I also calculated the root mean square error of all the models and plotted the residual diagnostics.

Data from BSE (formerly Bombay Stock Exchange) Link

Please refer to my GitHub repo for full project here.