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An analysis and a forecast of the cryptomarket based on the ARIMA model

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  • Gergana Taneva

Abstract

The investment potential of the cryptocurrency market is examined through an analysis of the factors that lead to sharp fluctuations and a forecast of its volatility is made with the use of the CRIX index. This index is dynamic and its structure changes every three months, which provides detailed information on the volatility of the cryptocurrency market. The CRIX index includes the most liquid cryptocurrencies, which makes it a representative indicator of the cryptocurrency market as well as a reliable indicator when it comes to making market forecasts in the future. The Autoregressive Integrated Moving Average (ARIMA) model of forecasting dynamic rows used in the research is a barometer of the cryptocurrency market. The research follows the changes in the monthly price of the CRIX index from January 2015 to January 2019.

Suggested Citation

  • Gergana Taneva, 2019. "An analysis and a forecast of the cryptomarket based on the ARIMA model," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 66-84.
    • Handle: RePEc:bas:econth:y:2019:i:4:p:66-84
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    References listed on IDEAS

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    1. Chen, Shi & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Lee, TM & Ong, Bobby, 2016. "A first econometric analysis of the CRIX family," SFB 649 Discussion Papers 2016-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    More about this item

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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