Investigating the efficacy of arima and arfima models in nigeria all share index markets

The study aims to investigate statistical issues, simplified facts, and efficacy of methodological characteristics of long memory models in the monthly Nigerian All Share Index markets. Specifically, the study investigates descriptive and other distributive properties of long-memory models in order to test the efficient market hypothesis proposed by Fame. The data used in this study is the Nigeria All Share Index. The data points totalled 356 and spanned from January 1992 to August 2021. The study used Autoregressive Moving Average and its Fractional Integrated model (ARFIMA) to capture the characteristics of long memory. In addition, a comparison is made between ARIMA and ARFIMA.