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This study analyzes the time series of the stock price index for the emerging market using the Box-Jenkins methodology. This study aims to develop a time series model that helps predict index values in the short term, based on monthly data for the period from January 2010 to December 2023, with 168 observations obtained from the official website of the Damascus Stock Exchange. The program (Eviews12) and (Minitab 16.1) were used as auxiliary tools in the analysis. Statistical methods related to the time series were applied, where stationary tests were conducted using the ADF test, as well as autocorrelation coefficients and partial correlation tests (ACF-PACF). One of the most important findings of this study is that the time series studied is unstable and has a general trend, which requires the use of the time series in a logarithmic form to reduce large fluctuations and to stabilize the correlation. On the positive side, the Box-Jenkins methodology was applied, using statistical criteria to test the appropriate model. Surprisingly, the study also found that the appropriate statistical model for the time series of the general stock price index in the Damascus Stock Exchange is the [ARIMA (3,1,4)] model.

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A Standard Study to Forecast the Movement of Stock Prices Using the Box Jenkins Methodology in Emerging Market

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  • 发表日期：

    2026年

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  • Hussein Atiya Al-daeef,
  • Laith Yousef Bani Hani,
  • Raed Alnimer,
  • Husni Hasan Samara,
  • Yazan Almnadheh,
  • Hayder Jerri Mohsin,
  • Ahmad Yahia Mustafa Al Astal

摘要

This study analyzes the time series of the stock price index for the emerging market using the Box-Jenkins methodology. This study aims to develop a time series model that helps predict index values in the short term, based on monthly data for the period from January 2010 to December 2023, with 168 observations obtained from the official website of the Damascus Stock Exchange. The program (Eviews12) and (Minitab 16.1) were used as auxiliary tools in the analysis. Statistical methods related to the time series were applied, where stationary tests were conducted using the ADF test, as well as autocorrelation coefficients and partial correlation tests (ACF-PACF). One of the most important findings of this study is that the time series studied is unstable and has a general trend, which requires the use of the time series in a logarithmic form to reduce large fluctuations and to stabilize the correlation. On the positive side, the Box-Jenkins methodology was applied, using statistical criteria to test the appropriate model. Surprisingly, the study also found that the appropriate statistical model for the time series of the general stock price index in the Damascus Stock Exchange is the [ARIMA (3,1,4)] model.