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Estimating and forecasting bitcoin daily prices using ARIMA-GARCH models

Quang Phung Duy et al.

Business Analyst Journal2024https://doi.org/10.1108/baj-05-2024-0027article
ABDC C
Weight
0.76

What the paper says

Purpose The goal of the study is to offer important insights into the dynamics of the cryptocurrency market by analyzing pricing data for Bitcoin. Using quantitative analytic methods, the study makes use of a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and an Autoregressive Integrated Moving Average (ARIMA). The study looks at how predictable Bitcoin price swings and market volatility will be between 2021 and 2023. Design/methodology/approach The data used in this study are the daily closing prices of Bitcoin from Jan 17th, 2021 to Dec 17th, 2023, which corresponds to a total of 1065 observations. The estimation process is run using 3 years of data (2021–2023), while the remaining (Jan 1st 2024 to Jan 17th 2024) is used for forecasting. The ARIMA-GARCH method is a robust framework for forecasting time series data with non-seasonal components. The model was selected based on the Akaike Information Criteria corrected (AICc) minimum values and maximum log-likelihood. Model adequacy was checked using plots of residuals and the Ljung–Box test. Findings Using the Box–Jenkins method, various AR and MA lags were tested to determine the most optimal lags. ARIMA (12,1,12) is the most appropriate model obtained from the various models using AIC. As financial time series, such as Bitcoin returns, can be volatile, an attempt is made to model this volatility using GARCH (1,1). Originality/value The study used partially processed secondary data to fit for time series analysis using the ARIMA (12,1,12)-GARCH(1,1) model and hence reliable and conclusive results.

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https://doi.org/https://doi.org/10.1108/baj-05-2024-0027

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@article{quang2024,
  title        = {{Estimating and forecasting bitcoin daily prices using ARIMA-GARCH models}},
  author       = {Quang Phung Duy et al.},
  journal      = {Business Analyst Journal},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1108/baj-05-2024-0027},
}

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Estimating and forecasting bitcoin daily prices using ARIMA-GARCH models

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Evidence weight

0.76

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact1.00 × 0.4 = 0.40
M · momentum0.88 × 0.15 = 0.13
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.