Etuk et al
Greener Journal of Science, Engineering and Technology Research Vol. 2 (2), pp. 032-038, September 2012
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: email@example.com
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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