International Journal of Innovation and Development

Modeling Bitcoin Prices and Returns using ARIMA Model

David Aidoo

Kumasi Technical University

Kofi Agyarko Ababio

Kumasi Technical University

Keywords: Cryptocurrency, Bitcoin, Akaike’s Information Criterion, Box-Jenkins technique, Asset prices

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Abstract

This paper aims to model and forecast daily prices and returns of Bitcoin using the BoxJenkins technique. The study used daily Bitcoin prices and returns from 19th June 2020 to 22nd January 2022 comprising 572 observations. The results indicated that the best models for predicting the daily prices and returns of Bitcoin, respectively, were ARIMA (0, 1, 0) and ARIMA (0, 0, 0), according to Akaike’s Information Criterion (AIC). Based on the study’s findings, investors are advised to avoid the temptation of over reliance on asset prices and returns forecasts in financial markets, especially the Bitcoin market.

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Author Biographies

David Aidoo, Kumasi Technical University

Department of Statistical Sciences

Kofi Agyarko Ababio, Kumasi Technical University

Department of Statistical Sciences