There are two basic method to analysis and choose share, they are fundamental analysis and technical analysis. Because of many aspects that should be researched in using of fundamental analysis, so that the decision on stock exchange has to be taken quickly even it can’t be done. For that reason, it is needed another analysis tool that can take a decision quickly and accurately. Beside, Indonesian’s investor who invests for short term should be participated to use technical analysis for distant, for instance is using Box Jenkins Method.

Box Jenkins technique applies autoregressive, integrated, and moving average (ARIMA) method in data time series with shaped model and input parameter that result of iteration which can produce the lower sum of square error (SSE).

These minithesis objectives are to know how to use and accurate Box Jenkins method in prediction of share cost. This research used share cost closing PT. Telkom Tbk from April 1, 2005 until March, 29 2006.

The result from 30 days, 60 days, 90 days, and 150 days researches can be concluded that Box Jenkins method is more accurate to predict share cost PT.TElkom Tbk in 90 days research with 0.758% error prediction share cost closing or MAPE.