An analysis and a forecast of the cryptomarket based on the ARIMA model Cover Image
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Анализ и прогнозиране на криптопазара чрез ARIMA модел
An analysis and a forecast of the cryptomarket based on the ARIMA model

Author(s): Gergana Taneva
Subject(s): Economy, Financial Markets
Published by: Институт за икономически изследвания при Българска академия на науките
Keywords: cryptocurrencies; decentralized market; CRIX index; Autoregressive Integrated Moving Average (ARIMA) model

Summary/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.

  • Issue Year: 2019
  • Issue No: 4
  • Page Range: 66-84
  • Page Count: 19
  • Language: Bulgarian