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

Gergana Taneva

Economic Thought journal, 2019, issue 4, 66-84

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.

JEL-codes: G17 (search for similar items in EconPapers)
Date: 2019
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