ABSTRACT
Obviously,
the global economic crisis has led to the shortage of financial resources and
to a eneral downturn in stock prices across the globe . orecasting stock prices
will provide a way to anticipate and perhaps avoid the risk of a large adverse
change in prices. 'his work models and forecasts stock prices of the Nigerian
stock exchange using the autoregressive integrated moving ave.rage (p,d,q)
model. The r.ox-Jenkins procedure for {fitting ARIMA model was adopted in the
analysis of the series. Thus, the monthly All-share :. indices of the Nigerian
stock exchange from January 1992 to December 2014 provides the fit sample. The
log transformation was applied on the series which in essence was to stabilize
the variance. Consequently, the Akaike Information Criterion was adopted for
the selection of appropriate model. Hence the suggested model, ARIMA 3,1,1
modelled as: X, = 0.4521X,,- 0.2527X,% - 0.2683X,,- 0.6293e, .4 + e, was found
to be adequate for describing the performance of the transformed series.
Several diagnostic test were performed to select the p, d, q parameter that
best fits the index. The model was subjected to test of adequacy using the AC
and PAC of the residual. Hence the adequacy of the selected ARIMA(3,1,1) model
was questioned by generating a year forecast.
ONYEBUCHI, C (2025). Analysis Of All Share Index Of The Nigerian Stock Exchange:- Onyebuchi Bright C. Mouau.afribary.org: Retrieved Apr 08, 2025, from https://repository.mouau.edu.ng/work/view/analysis-of-all-share-index-of-the-nigerian-stock-exchange-onyebuchi-bright-c-7-2
CHINEDU, ONYEBUCHI. "Analysis Of All Share Index Of The Nigerian Stock Exchange:- Onyebuchi Bright C" Mouau.afribary.org. Mouau.afribary.org, 07 Apr. 2025, https://repository.mouau.edu.ng/work/view/analysis-of-all-share-index-of-the-nigerian-stock-exchange-onyebuchi-bright-c-7-2. Accessed 08 Apr. 2025.
CHINEDU, ONYEBUCHI. "Analysis Of All Share Index Of The Nigerian Stock Exchange:- Onyebuchi Bright C". Mouau.afribary.org, Mouau.afribary.org, 07 Apr. 2025. Web. 08 Apr. 2025. < https://repository.mouau.edu.ng/work/view/analysis-of-all-share-index-of-the-nigerian-stock-exchange-onyebuchi-bright-c-7-2 >.
CHINEDU, ONYEBUCHI. "Analysis Of All Share Index Of The Nigerian Stock Exchange:- Onyebuchi Bright C" Mouau.afribary.org (2025). Accessed 08 Apr. 2025. https://repository.mouau.edu.ng/work/view/analysis-of-all-share-index-of-the-nigerian-stock-exchange-onyebuchi-bright-c-7-2