The Bitcoin Price Prediction by Vector Auto-Regression (VAR) Model

Abderraouf Mtiraoui (), Nadia Slimene and Leila Chemli
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Abderraouf Mtiraoui: MOFID-Université de Sousse
Nadia Slimene: SU - Shaqra University, Saudi Arabia
Leila Chemli: Faculté des Sciences Economiques et de Gestion de Sousse, Université de Sousse, Tunisia

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Abstract: The purpose of this paper is to assess the ability of a VAR model, used to predict. The results of the estimates lead to adopting a VAR model. However, the performances of this model are quite close, for certain horizons, to those performed by the forecasting organizations for the time series. We will first do a detailed analysis of Bitcoin prices, including the closing price. Next, we will move on to modeling the Bitcoin series using the VAR model, which will then be used for forecasting. We will move on to modeling the Bitcoin series using the VAR model, which consumers will then use.

Keywords: VAR; Time Series; Bitcoin (search for similar items in EconPapers)
Date: 2025
Note: View the original document on HAL open archive server: https://hal.science/hal-05253337v1
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Published in Analysis and Metaphysics, In press, 24 (1), pp.16-30

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05253337

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