How low can Sensex go this month?

The sudden fall in the BSE-Sensex has disturbed many a investor and the question foremost in their mind is: How low can this get? I try to answer this question quantitatively below.

Here are my predictions for the lowest value of Sensex for the period 4-Nov to 30-Nov.

Chance of Sensex closing below 15000 on someday within this period: 58%

Chance of Sensex closing below 14000 on someday within this period: 14%

Chance of Sensex closing below 13000 on someday within this period: 2%

Another question that investors are interested in are the chances of an upswing. The chances of these positive happenings are given below:

Chance of Sensex closing above 16000 on someday within this period: 55%

Chance of Sensex closing above 17000 on someday within this period: 17%

Chance of Sensex closing above 18000 on someday within this period: 4%

On NIFTY-2

Here are my predictions of the possible closing value of NIFTY for the next week:

Date P5 Q1 Med Q3 P95

5-Oct 4921 5042 5089 5136 5226

6-Oct 4870 5015 5093 5165 5291

7-Oct 4830 5003 5099 5190 5341

8-Oct 4795 4990 5104 5216 5394

9-Oct 4772 4980 5111 5234 5438

P5 = 5th percentile

Q1 = 25th percentile

Med = 50th percentile

Q3 = 75th percentile

P95 = 95th percentile

On NIFTY - 1

There is now a lot of speculation regarding whether NIFTY will cross 5000 or not. As per my calculations

(a) the chance that the closing value of NIFTY on 1-Oct-2009 will exceed 5000 is 33.5% and

(b) the chance that the closing value of NIFTY on 16-Oct-2009 will exceed 5000 is 41.7%

Deaths due to Swine Flu in India - Predictions for Sept 11 -15

The prediction of the number of deaths due to swine flu for the next five days is:

Date Forecast 95% Prediction Interval

11-Sep 154 (150, 158)

12-Sep 159 (155, 164)

13-Sep 164 (159, 169)

14-Sep 170 (164, 175)

15-Sep 175 (169, 181)

(The analysis is based on data available from http://www.swineflu-india.org/)

Y-o-Y quarterly GDP growth of India (2009-10)

Based on the data on Year-on-Year (Y-o-Y) quarterly growth of GDP (at constant 1999-2000 prices) over the period 1997-98 to 2008-09 my predictions for the Y-o-Y quarterly growth for 2009-10 (at constant 1999-2000 prices) are as follows:

Forecast (%) 95% prediction interval

Q1 6.0 (3.1, 8.9)

Q2 6.9 (3.1, 10.7)

Q3 7.2 (3.0, 11.5)

Q4 7.8 (3.2, 12.4)

Swine Flu in India - 8

My forecasts for the number of deaths due to swine-flu for the next five days are as follows

Date Forecast 95% prediction interval

6-Sep 126 (123, 129)

7-Sep 131 (128, 134)

8-Sep 136 (132, 139)

9-Sep 141 (137, 144)

10-Sep 145 (142, 149)

The data on the statewise mortality figures given in http://www.swineflu-india.org/ continues to show remarkable heterogenity in the apparent mortality rate. Gujarat has the highest apparent mortality rate (~9%), followed by Karanataka (~6%). In contrast Delhi has an apparent mortality of 0.4% while the same for Tamil Nadu is 0.6%.

Swine Flu in India - 7

Here are my predictions of the cumulative number of deaths in the period 1-Sep to 5-Sep. These are based on the available data on the cumulative number of deaths between (21-Aug to 31-Aug).

Date Forecast 95% Prediction Interval

1-Sep 103 (101, 106)

2-Sep 108 (106, 111)

3-Sep 113 (111, 116)

4-Sep 118 (116, 121)

5-Sep 123 (121, 126)

There had been 37 reported deaths due to swine flu during the week 25-Aug to 31- Aug. This is almost equal to 38 deaths reported in the week 18-Aug to 24-Aug. From the predictions it appears that we will have similar number of deaths in the coming week.

The number of confirmed positive swine-flu cases in the period 25-Aug to 31 - Aug was 1077 and that for the period 18-Aug to 24-Aug is 982.

On Swine flu in India - 5

My projections for laboratory confirmed total number of cases and new cases (based on data from 19-Jul to 26-Aug) is as follows

Date New Cases Total 95% prediction interval for Total

28 Aug 201 3664 (3443, 3899)

29 Aug 213 3877 (3572, 4208)

30 Aug 225 4102 (3705, 4543)

31 Aug 239 4341 (3841, 4906)

My projections on the cumulative number of deaths predicted on the above days are:

Date Total 95% prediction interval of no. of total deaths

28 Aug 84 (78, 89)

29 Aug 90 (84, 96)

30 Aug 96 (90, 102)

31 Aug 103 (97, 109)

Swine Flu Progress in India - 1

The projected number of laboratory confirmed swine-flu cases in India in the next five days based on my calculations are as follows:

New Cases Total

23 Aug 142 2812

24 Aug 144 2956

25 Aug 150 3106

26 Aug 155 3261

27 Aug 161 3422

The apparent mortality rate =(total no. of deaths/total no. of cases) appears to be quite large for India (about 2%) compared to the rest of the world. This can be due to under estimation of the denominator since a large number of swine flu cases may not be referred for testing at a designated centre.

If we assume that the widely reported 0.5% mortality rate is also true for India it indicates that the actual number of cases can be about the four times the laboratory confirmed numbers.

Since nearly three-fourths of the cases of swine-flu are not detected these individuals will spread the disease without their knowing. This can be a cause of concern particularly for the high risk groups.