Next-Day Bitcoin Price Forecast

Journal of Risk and Financial Management

卷:12

ZiaulHaque Munim¹  Ilan Alon¹  MohammadHassan Shakil² 

[1] School of Business and Law, University of Agder, 4630 Kristiansand, Norway;

[2] Taylor’s Business School, Taylor’s University, 47500 Subang Jaya, Malaysia;

关键词: ARIMA;    artificial neural network;    Bitcoin;    cryptocurrency;    static forecast;   

DOI  :  10.3390/jrfm12020103

来源: DOAJ

【 摘 要 】

This study analyzes forecasts of Bitcoin price using the autoregressive integrated moving average (ARIMA) and neural network autoregression (NNAR) models. Employing the static forecast approach, we forecast next-day Bitcoin price both with and without re-estimation of the forecast model for each step. For cross-validation of forecast results, we consider two different training and test samples. In the first training-sample, NNAR performs better than ARIMA, while ARIMA outperforms NNAR in the second training-sample. Additionally, ARIMA with model re-estimation at each step outperforms NNAR in the two test-sample forecast periods. The Diebold Mariano test confirms the superiority of forecast results of ARIMA model over NNAR in the test-sample periods. Forecast performance of ARIMA models with and without re-estimation are identical for the estimated test-sample periods. Despite the sophistication of NNAR, this paper demonstrates ARIMA enduring power of volatile Bitcoin price prediction.

【 授权许可】

Unknown