There are many studies dealt with univariate time series data, but the analysis of multivariate time series are rarely discussed. This article discusses the theoretical and numerical aspects of different techniques that analyze the multivariate time series data. These techniques are ANN, ARIMA, GLM and VARS models. All techniques are used to analyze the data that obtained from Egypt Stock Exchange Market. R program with many packages are used. These packages are the "neuralnet, nnet, forecast, MTS and vars". The process of measuring the accuracy of forecasting are investigated using the measures ME, ACF, MAE, MPE, RMSE, MASE, and MAPE. This is done for seasonal and non-seasonal time series data. Best ARIMA model with minimum error is constructed and tested. The lags order of the model are identified. Granger test for causality indicated that Exchange rate is useful for forecasting another time series. Also, the Instant test indicated that there is instantaneous causality between Exchange rate and other time series. For non-seasonal data, the NNAR() model is equivalent to ARIMA() model. Also, for seasonal data, the NNAR(p,P,0)[m] model is equivalent to an ARIMA(p,0,0)(P,0,0)[m] model. For these data, we concluded that the ANN and GLMs of fitting multivariate seasonal time series is better than multivariate non-seasonal time series. The transactions of Finance, Household and Chemicals sectors are significant for Exchange rate in non-seasonal time series case. The forecasts that based on stationary time series data are more smooth and accurate. VARS model is more accurate rather than VAR model for ARIMA (0,0,1). Forecasts of VAR values are predicted over short horizon, because the prediction over long horizon becomes unreliable or uniform.