TY - JOUR
T1 - Next-Day Bitcoin Price Forecast
AU - Munim, Ziaul Haque
AU - Shakil, Mohammad Hassan
AU - Alon, Ilan
N1 - Publisher Copyright:
© 2019 by the authors.
PY - 2019/6
Y1 - 2019/6
N2 - 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.
AB - 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.
KW - ARIMA
KW - Bitcoin
KW - artificial neural network
KW - cryptocurrency
KW - static forecast
UR - http://www.scopus.com/inward/record.url?scp=85078790827&partnerID=8YFLogxK
U2 - 10.3390/jrfm12020103
DO - 10.3390/jrfm12020103
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AN - SCOPUS:85078790827
SN - 1911-8066
VL - 12
JO - Journal of Risk and Financial Management
JF - Journal of Risk and Financial Management
IS - 2
M1 - 103
ER -