This research paper examines the potential of forecasting the VN30 index, a prominent benchmark in the Vietnamese stock market, using the Auto Regressive Integrated Moving Average (ARIMA) model. Given the rapid evolution of the Vietnamese stock market since its inception in 2000, it presents unique challenges and opportunities for investors and policymakers. The increasing trading activity and the market’s relatively low efficiency make accurate forecasting essential for informed decision-making. The purpose of this study is to determine if the ARIMA model can effectively predict the future values of the VN30 index, providing insights into market trends and assisting stakeholders in navigating the complexities of the Vietnamese stock market. The methodology employed involves a comprehensive approach based on the theory of change and the steps outlined by Hyndman [1], including data visualization, variance stabilization, model selection, and residual analysis. Data used for this study consist of monthly and daily observations of the VN30 index over various periods, allowing for a robust analysis of market behavior. Findings indicate that the ARIMA model can be a valuable tool for forecasting in emerging markets like Vietnam, although challenges related to information transparency and corporate disclosure persist. The results suggest that the VN30 index’s future values generally align with ARIMA’s prediction interval, offering a degree of confidence for investors and market analysts. However, the study also highlights the need for ongoing improvements in market efficiency and transparency to enhance forecasting accuracy. This paper contributes to the existing literature by demonstrating the applicability of ARIMA in a developing market context and providing practical guidance for investors and policymakers.