Autoregressive linear regression one period ahead predictor model

I have a Matlab assignment where I have to create an Autoregressive linear regression model that impliments one-period-ahead predictions for a large set of stock exchange index values. I am unsure how to do this. I have been reading for a while and the only method I found thus far is Matlab's arima() function. However I am unsure if this function is appropriate because I am having a really hard time understanding the function explenations. Can anyone recommend a method that will be suitable? Is it possible to impliment a standard fitlm model in this case? Any advice would be greatly appreciated thank you