Forecasting and Modeling of Indian Private Banks’ Stocks : An Econometric Analysis for Prudent Investment for Investors and Traders

The aim of the study is to explore the dynamics between the risk and return of the three private banking stocks of National Stock Exchange (NSE)—Axis, HDFC and ICICI Banks. These are high beta stocks. This paper deals with the impact of sample size on the distributional characteristics of the stock return: how risk and return of same stocks change for investors and traders. The paper emphasizes on the time horizon of the investment, which is critical and should be revised regularly. This paper tries to find the relationship between these banks with respect to the horizon of investment period. It also tries to differentiate two most important characteristics of market: the ‘time and volatility’ for trader and investor. It provides a guide for analyzing and modeling the financial time series using statistical methods for both traders and investors