TIME SERIES ANALYSIS ON NIGERIA STOCK EXCHANGE MARKET CAPITALIZATION (A CASE STUDY OF ALICO INSURANCE PLC)
Abstract
AbstractThis study investigates the trends, seasonality, and future movements of the Nigerian Stock Exchange (NSE) indices using the Holt-Winter exponential smoothing method. Utilizing 38 years of monthly data (1985–2022), the research examines key components such as level, trend, and seasonal influences in the stock market. The analysis highlights the dynamic behavior of the NSE, characterized by significant seasonal fluctuations and an unstable variance. The Holt-Winter model proved effective in fitting the data and providing accurate forecasts, enabling a five-year projection of future index performance. The findings underscore the importance of leveraging advanced statistical techniques to address market volatility, enhance forecasting accuracy, and support decision-making by investors, policymakers, and analysts. Recommendations include fostering foreign investment, improving market transparency, introducing diverse financial instruments, and encouraging government and private sector participation in the capital market. This study contributes to a deeper understanding of the Nigerian Stock Exchange and its potential role in driving economic growth and stability.
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