BOX-JENKINS ARIMA MODELLING OF FUTURE SHARE PRICE OF NIGERIA STOCK EXCHANGE

Modelling stock prices and returns is an exciting area of research given the complexity of the stock market and that the behaviour of individual investors is not always rational. The objective of the study is to develop an appropriate model in order to investigate and forecast the characteristics of stock price of Nigeria Stock Exchange All Share Index. Secondary source of data was adopted for this study and the data was obtained from the website of the Nigeria Stock Exchange. The data used for this study consists of monthly prices of the Nigerian Stock exchange collected over the period from 2nd January 2014 until 31st December 2018. The data was analysed with Autoregressive Integrated Moving Average made popular by Box-Jenkins, all analysis performed with R programme. Results of the analysis showed that an appropriate model forcating is simply an ARIMA (2, 1, 1) due to the fact that, the ACF decays exponentially and the PACF has a spike at lag 1 and has the lowest AIC which is an indication of the said model.