A Study and Forecast of MCX Comdex Commodity Index Using ARIMA Model

The purpose of this research paper is to understand the MCX Comdex index, the paper also attempts to forecast the index level, the level of index reflects the change in commodity prices. The index is based on commodity futures prices of an exchange. To study the same daily closing prices of Comdex for last twelve years has been considered. The data are taken from MCX website. Analysis shows that commodities prices have changed substantially since 2007. To forecast the MCX Comdex value ARIMA model has been used. It indicates the range bound or constant increase in commodity prices in near future considering 95% of confidence interval