Time Series Predictive Analysis of Bitcoin Price

Abstract

As a great innovation in virtual currency, bitcoins have the possibility to survive perpetually, although they are like gigantic bubbles. However, no matter whether bitcoins could survive or not, the technology used by bitcoins will exist and develop. There is a great possibility for bitcoins to be served in the intending currency, being issued, supported, and controlled by the government. Consequently, the research for bitcoins is meaningful. To explore the time relationship of bitcoins and give a prediction about the future price based on the given data, ARIMA and GARCH models are used in this paper. Although both of the two models failed to provide the accurate forecasts at the end of this research, they still proved the correlation within time series of bitcoins.