ARIMA MODEL FOR FORECASTING THE BITCOIN EXCHANGE RATE AGAINST THE USD

Authors

  • Vasantha Vinayakamoorthi Lecturer, Department of Economics, Eastern University Sri Lanka, Eastern Province, Sri Lanka https://orcid.org/0000-0002-4174-7907
  • Saravanamutthu Jeyarajah Senior Lecturer, Department of Economics, Eastern University Sri Lanka, Eastern Province, Sri Lanka
  • Jeyapraba Suresh Senior Lecturer, Department of Economics, Eastern University Sri Lanka, Eastern Province, Sri Lanka
  • Niroshanth Sathasivam Department of Software Technology, University of Vocational Technology, Sri Lanka

DOI:

https://doi.org/10.29121/ijoest.v6.i5.2022.400

Keywords:

BTC (Bitcoin), ARIMA, Forecasting

Abstract

This study analysis forecasting the bitcoin exchange rate against the USD. The dataset selected for this study starts from January 2015 to June 2022. This study's methodology uses autoregressive integrated moving average forecasting (ARIMA). The overall outcomes of this study were gathered from the statistical software Minitab 21.1. The Box Jenkins approaches are also used to predict the best model. To determine the ARIMA model parameter, this study did autocorrelation function (ACF) and partial autocorrelation function (PACF) analyses. According to the Box-Cox transformation method, log transformation was selected. The outcome demonstrates that the seasonal with the regular difference in the Bitcoin exchange rate against the USD is a stationary data series. The forecasting model used in this study is ARIMA (1,1,0) (2,1,1)12. This predicted model is identified through the Mean squared error by comparing the other guessing ARIMA models. After the prediction, 5 Month bitcoin exchange rate against the USD. Investors will be able to estimate the bitcoin exchange rate against the USD with the use of this information, but volatility must also be properly watched. This will aid investors in making better investment decisions and increase profits. In future studies, better consider another exchange rate of BTC and software experts will develop such type of software based on ARIMA models for prediction.

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Published

2022-10-20

How to Cite

Vinayakamoorthi, V., Jeyarajah, S., Suresh, J., & Sathasivam, N. (2022). ARIMA MODEL FOR FORECASTING THE BITCOIN EXCHANGE RATE AGAINST THE USD. International Journal of Engineering Science Technologies, 6(5), 59–75. https://doi.org/10.29121/ijoest.v6.i5.2022.400