  This paper analyses how Time Series Analysis techniques can be applied to
capture movement of an exchange traded index in a stock market. Specifically,
Seasonal Auto Regressive Integrated Moving Average (SARIMA) class of models is
applied to capture the movement of Nifty 50 index which is one of the most
actively exchange traded contracts globally [1]. A total of 729 model parameter
combinations were evaluated and the most appropriate selected for making the
final forecast based on AIC criteria [8]. NIFTY 50 can be used for a variety of
purposes such as benchmarking fund portfolios, launching of index funds,
exchange traded funds (ETFs) and structured products. The index tracks the
behaviour of a portfolio of blue chip companies, the largest and most liquid
Indian securities and can be regarded as a true reflection of the Indian stock
market [2].
