Author(s): Surendran Pillay
Accurate stock price prediction is considered complex; however, the autoregressive integrated moving average (ARIMA) model has proven credible in various linear and non-linear methods of times series forecasting. The Johannesburg Stock Exchange (JSE) is the largest stock exchange in Africa with market capitalisation of over 850 billion USD. The objective of the paper is to determine an optimal ARIMA model for forecasting share price index of the JSE. The study used a three-step iterative quantitative approach in determining the optimal ARIMA model to be used in forecasting the share price index. The study confirmed that the ARIMA (4, 1, 4) model is stable and most suitable model to forecast the stock price index of South Africa for the next two years