IDEAS home Printed from https://ideas.repec.org/a/adm/journl/v5y2016i6p23-38.html
   My bibliography  Save this article

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

Author

Listed:
  • C. A. Uzuke
  • H. O. 0biora-Ilouno
  • Eze F. C
  • J. Daniel

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.

Suggested Citation

  • C. A. Uzuke & H. O. 0biora-Ilouno & Eze F. C & J. Daniel, 2016. "Timeseries Analysis of All Shares Index of Nigerian Stock Exchange: A Box-Jenkins Approach," International Journal of Sciences, Office ijSciences, vol. 5(06), pages 23-38, June.
    • Handle: RePEc:adm:journl:v:5:y:2016:i:6:p:23-38
    DOI: 10.18483/ijSci.922
    as

    Download full text from publisher

    File URL: https://www.ijsciences.com/pub/article/922
    Download Restriction: no
    File URL: https://www.ijsciences.com/pub/pdf/V5201606922.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.18483/ijSci.922?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adm:journl:v:5:y:2016:i:6:p:23-38. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Staff ijSciences (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.