Price Prediction Using ARIMA Model of Monthly Closing Price of Bitcoin

Abstract

The rising of bitcoin’s user as a digital currency and investments causing an instability and an uncertainty in price movement and increasing the risk of trading, therefore in this study we try to forecast the future value of bitcoin price using ARIMA Models. 2 candidate models are selected by the lowest value of AIC and using the performance indicators ME, RSME, MAE, MPE, and MAPE conclude ARIMA (1,1,0) are the best ARIMA model, then the next 5 months future price forecasted using the best model. While ARIMA (1,1,0) is the best model, the model failed to follow price movement as shown in the forecasted price.