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Forecasting Cryptocurrencies Financial Time Series

Author

Listed:
  • Leopoldo Catania
  • Stefano Grassi
  • Francesco Ravazzolo

Abstract

This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, Litecoin, Ripple and Ethereum. We apply a set of crypto predictors and rely on Dynamic Model Averaging to combine a large set of univariate Dynamic Linear Models and several multivariate Vector Autoregressive models with different forms of time variation. We find statistical significant improvements in point forecasting when using combinations of univariate models and in density forecasting when relying on selection of multivariate models.

Suggested Citation

  • Leopoldo Catania & Stefano Grassi & Francesco Ravazzolo, 2018. "Forecasting Cryptocurrencies Financial Time Series," Working Papers No 5/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    • Handle: RePEc:bny:wpaper:0063
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    References listed on IDEAS

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    Cited by:

    1. Gidea, Marian & Goldsmith, Daniel & Katz, Yuri & Roldan, Pablo & Shmalo, Yonah, 2020. "Topological recognition of critical transitions in time series of cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
    2. Marian Gidea & Daniel Goldsmith & Yuri Katz & Pablo Roldan & Yonah Shmalo, 2018. "Topological recognition of critical transitions in time series of cryptocurrencies," Papers 1809.00695, arXiv.org.
    3. Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2020. "On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin," Econometrics and Statistics, Elsevier, vol. 16(C), pages 69-90.
    4. Nicola Uras & Lodovica Marchesi & Michele Marchesi & Roberto Tonelli, 2020. "Forecasting Bitcoin closing price series using linear regression and neural networks models," Papers 2001.01127, arXiv.org.

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    More about this item

    Keywords

    Cryptocurrency; Bitcoin; Forecasting; Density Forecasting; VAR; Dynamic Model Averaging;
    All these keywords.

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