The stock market always attracts organisations and individuals because of its high capability of profit generation. Factors affecting the Vietnam market are diverse and unpredictable. Besides, the behaviour factor controls most of the market fluctuation. Therefore, the forecast of Vn Index has met with difficulties. ARIMA is a efficient and popular tool to forecast the data in time chain like Vn Index. Forecasting the ups and downs of Vn Index helps investors acquire the fluctuating trend of stocks to plan their strategies appropriately. In this paper, the author focuses on forecasting the Vn Index in the short term using ARIMA model with Box-Jenkins methods in 4 steps: identifying, estimating, testing as well as forecasting,and gives advice to investors in applying ARIMA.