Timeseries Analysis of All Shares Index of Nigerian Stock Exchange: A Box-Jenkins Approach

Timeseries Analysis of All Shares Index of Nigerian Stock Exchange: A Box-Jenkins Approach

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Author(s)

Author(s): C. A. Uzuke, H. O. 0biora-Ilouno, Eze F. C, J. Daniel

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DOI: 10.18483/ijSci.922 591 979 23-38 Volume 5 - Jun 2016

Abstract

This study was aimed at analyzing the Nigerian Stock Exchange All Share Index. The data was extracted from the Central Bank of Nigeria’s Statistical Bulletin and it covered the period of January 1985 to September 2014. The Box and Jenkins approach of model identification, parameter estimation and diagnostic checking was adopted in the analysis with the aid of S-plus Package. From the analysis, the result revealed that Autoregressive model of order two AR (2) after differencing once gives Akaike Information Criteria (AIC) of 6682.4416 which is an optimal order for Nigeria Stock Exchange All Share Index, the model is ... . Therefore, the model generated shows that ARIMA (2, 1, 0) is adequate to define the optimal order of Nigerian Stock Exchange All Share index.

Keywords

Autocorrelation, Partial Autocorrelation, Autoregresive Integrated Moving Average (ARIMA), Autoregresive Moving Average (ARMA), Autoregresive (AR), Moving Average (MA), Differencing, All Share Index, Stationary Series

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International Journal of Sciences is Open Access Journal.
This article is licensed under a Creative Commons Attribution 4.0 International (CC BY 4.0) License.
Author(s) retain the copyrights of this article, though, publication rights are with Alkhaer Publications.

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