Greener Journal of Science, Engineering and Technological Research

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Etuk et al

Greener Journal of Science, Engineering and Technology Research Vol. 2 (2), pp. 032-038September 2012

ISSN: 2276-7835 

Research Paper

Manuscript Number: GJSETR1211

 

Box-Jenkins Modelling of Nigerian Stock Prices Data

 

Ette Harrison Etuk*, Bartholomew Uchendu and Ephraim Okon Udo

 

Department of Mathematics/Computer Science, Rivers State University of Science and Technology, Nigeria

 

*Corresponding Author’s Email: ettetuk@yahoo.com


Abstract:

Nigerian stock prices data is modelled by Box-Jenkins approach and the use of automatic model selection criteria: Akaike Information criterion (AIC), Schwarz Information Criterion (SIC), R2. It is inferred that the most adequate model is autoregressive integrated moving average of orders 2, 1 and 3(ARIMA (2 ,1 ,3)). Forecasts are obtained on the basis of the model.

Key Words: Stock prices, ARIMA modelling, AIC, SIC, Nigeria.

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