The continuous glucose monitoring system is an effective tool, which enables the users to monitor their blood glucose (BG) levels. Based on the continuous glucose monitoring (CGM) data, we aim at predicting future BG levels so that appropriate actions can be taken in advance to prevent hyperglycemia or hypoglycemia. Due to the time-varying nonstationarity of CGM data, verified by Augmented Dickey-Fuller test and analysis of variance, an autoregressive integrated moving average (ARIMA) model with an adaptive identification algorithm of model orders is proposed in the prediction framework. Such identification algorithm adaptively determines the model orders and simultaneously estimates the corresponding parameters using Akaike Information Criterion and least square estimation. A case study is conducted with the CGM data of diabetics under daily living conditions to analyze the prediction performance of the proposed model together with the early hypoglycemic alarms. Results show that the proposed model outperforms the adaptive univariate model and ARIMA model.