A COMPREHENSIVE APPROACH TO BITCOIN FORECASTING USING NEURAL NETWORKS

Tea Šestanović
Additional contact information
Tea Šestanović: University of Split, Faculty of Economics, Business and Tourism

Ekonomski pregled, 2024, vol. 75, issue 1, 62-85

Abstract: This paper provides a comprehensive approach to Bitcoin price, returns, direction and volatility forecasting. It compares ARIMA and GARCH models to neural network (NN) autoregression and Jordan NN in their forecasting performances, using internal and external factors. Robustness of the results is verified across bearish, bullish and stable market conditions. The results are not unambiguous considering price, returns or volatility forecasting, when compared using different performance measures or through different periods. Return and volatility forecasting yields to stable results no matter the model or period observed. NNs in general emerge as optimal for return and direction forecasting, ARIMAX and NNARX for price forecasting, while for volatility forecasting all models yield comparable results. Price forecasting yields the best prediction accuracies, while JNNX performed poorly. However, the inclusion of other machine learning methods and/or different variables as well as recent crisis emerged from war circumstances can be seen as limiting factors.

Keywords: ARIMA; Bitcon; COVID-19; GARCH; Jordan neural network; neural network autoregression (search for similar items in EconPapers)
JEL-codes: C32 C45 C53 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.32910/ep.75.1.3 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hde:epregl:v:75:y:2024:i:1:p:62-85

Ordering information: This journal article can be ordered from
Ekonomski pregled, Hrvatsko društvo ekonomista, Heinzelova 4a, 10000 Zagreb, Croatia
http://www.hde.hr/pregled_en.aspx

Access Statistics for this article

Ekonomski pregled is currently edited by Josip Tica

More articles in Ekonomski pregled from Hrvatsko društvo ekonomista (Croatian Society of Economists) Contact information at EDIRC.
Bibliographic data for series maintained by Josip Tica ().