dc.contributor.author | Munim, Ziaul Haque | |
dc.contributor.author | Shakil, Mohammad Hassan | |
dc.contributor.author | Alon, Ilan | |
dc.date.accessioned | 2020-03-23T19:20:56Z | |
dc.date.available | 2020-03-23T19:20:56Z | |
dc.date.created | 2019-07-08T14:34:36Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Munim, Z. H., Shakil, M. H. & Alon, I. (2019). Next-Day Bitcoin Price Forecast. Journal of Risk and Financial Management. 12(2),15. | en_US |
dc.identifier.issn | 1911-8074 | |
dc.identifier.uri | https://hdl.handle.net/11250/2648227 | |
dc.description.abstract | 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. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | MDPI | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | Next-Day Bitcoin Price Forecast | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.rights.holder | © 2019 The Author(s) | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | en_US |
dc.source.pagenumber | 15 | en_US |
dc.source.volume | 12 | en_US |
dc.source.journal | Journal of Risk and Financial Management | en_US |
dc.source.issue | 2 | en_US |
dc.identifier.doi | 10.3390/jrfm12020103 | |
dc.identifier.cristin | 1710651 | |
cristin.qualitycode | 1 | |