International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064




Downloads: 161 | Views: 177

Research Paper | Statistics | Nigeria | Volume 8 Issue 10, October 2019


Estimating and Forecasting Bitcoin Daily Returns Using ARIMA-GARCH Models

Emaeyak Xavier Udom


Abstract: This paper provides an evaluation of the forecasting performance of hybrid ARIMA-GARCH model in forecasting Bitcoin daily price returns. We combined ARIMA and GARCH model with Normal, Studentís t and Skewed studentís t distributions. To make the series stationary, Bitcoin daily price data was transformed to Bitcoin daily returns. By using Box-Jenkins method, the appropriate ARIMA model was obtained and for capturing volatilities of the returns series GARCH (1, 1) models with Normal, Studentís t and Skewed studentís t distributions was used. To evaluate the performance of the models, the study employs two measures, RMSE and MAE. The results reveal that ARIMA (2, 0, 1) -GARCH (1, 1) with Normal distribution outperform the other three in terms of out-of-sample forecast with minimum RMSE and MAE. The findings can aid investors, market practitioners, financial institutions, policymakers, and scholars.


Keywords: ARIMA, GARCH, Bitcoin returns, Hybrid ARIMA-GARCH


Edition: Volume 8 Issue 10, October 2019,


Pages: 376 - 382


How to Download this Article?

Type Your Email Address below to Download the Article PDF


How to Cite this Article?

Emaeyak Xavier Udom, "Estimating and Forecasting Bitcoin Daily Returns Using ARIMA-GARCH Models", International Journal of Science and Research (IJSR), Volume 8 Issue 10, October 2019, pp. 376-382, https://www.ijsr.net/get_abstract.php?paper_id=ART20201582



Similar Articles with Keyword 'ARIMA'

Downloads: 3

Research Paper, Statistics, Nigeria, Volume 10 Issue 11, November 2021

Pages: 507 - 510

Modelling Auto - Crash Cases in Osun State, Nigeria

Salami Taofeek A | Adeyemi Adekunle M | Yusuf Jamal .A

Share this Article

Downloads: 5

Research Paper, Statistics, Nigeria, Volume 10 Issue 8, August 2021

Pages: 734 - 744

Application of Autoregressive Integrated Moving Average Intervention Model for Corruption Index in Nigeria

Sadiq Nafisatu | Nweze N. O. [2] | Ibrahim Ahmed [4] | Mohammed Rilwan [2]

Share this Article



Top