Application of Arima Modelling : A Case Study of Stock Market Prices of Julius Berger Nigeria, Limited

Authors

  • Okenwe Idochi Department of Statistics, School of Applied Sciences, Rivers State PolytechnicPMB 20, Bori, Rivers State, Nigeria
  • Iheagwara Andrew Procurement Officer/Director Planning, Research & Statistics, Nigeria Erosion & Watershed Management Project (World Bank-Assisted), Ministry of Petroleum & Environment, Ploy 36, chief Executive Quarters, Area “B”,  New Owerri, Imo State, Nigeria
  • Bekesuoyeibo Rebecca Department of Statistics, School of Applied Science, Federal Polytechnic, Ekewe

DOI:

https://doi.org/10.53555/ans.v1i1.921

Keywords:

ARIMA, Stock Market Prices, Bartletts test, ACF, PACF

Abstract

This study examined an Autoregressive Integrated Moving Average (ARIMA) model for the average stock market prices (in Naira) of Julius Berger Nigeria PLC, for the period of January 2006 to December 2012 obtained from the website of cash craft asset management limited (a member of Nigerian Stock Exchange), while the 2013 Figures were used to assess the forecasting performance of the fitted model. The result of the analysis using the MINITAB software package version 15.0 revealed that the data required first order differencing to isolate trend. Further analysis showed that the appropriate model that best described the pattern is the Seasonal Autoregressive Integrated Moving Average process of order (1,1,1)x(1,0,1)12.

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References

Ayinde, I. and Abdulwahab, H. (2013). Modeling and Forecasting Nigerian Crude Oil Exportation: Seasonal Autoregressive Integrated Moving Average Approach. International Journal of Science and Research (IJSR). Volume 2, Pages 245 -249.

Box, G.E.P, Jenkins G.M., and Reinsel, G.C.(1994). Time Series Analysis; forecasting and Control, Prentice-Hall, New Jersey.

Edo, Samson E. (1995).“An Estimation of a Model of long Term Securities Investment in Nigerian” Nigeria Economic and Financial Review (N.E.F.R).

Iwueze, S.I., Nwogu, E.C. and Nlebedim, V.U. (2013). Time Series Modeling of Nigeria External Reserves, CBN Journal of Applied Statistics, Volume 4, Pages 111 –128.

Okafor, U.P.(2013). Time Series Analysis of Stock Prices at the Nigerian Stock Exchange with First Bank of Nigeria as the Case Study from 2006 to 2010. Unpublished B.Sc. project submitted to the Department of Statistics, IMSU.

Okafor, C. and Shaibi, I. (2013). Application of ARIMA models to Nigerian Inflation Dynamics, Research Journal of Finance and Accounting, Volume 4, pages 138 –150.International Journal for Research in Applied and Natural Science, ISSN: 2208-2085Volume-1 | Issue-1 | December,201556

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Published

2015-01-31

How to Cite

Idochi, O., Andrew, I., & Rebecca, B. (2015). Application of Arima Modelling : A Case Study of Stock Market Prices of Julius Berger Nigeria, Limited. International Journal For Research In Applied And Natural Science, 1(1), 42–56. https://doi.org/10.53555/ans.v1i1.921

Issue

Vol. 1 No. 1 (2015): International Journal For Research In Applied And Natural Science (ISSN: 2208-2085)

Section

Articles

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