MODELING OF THE BITCOIN CURRENCY WITH THE USE OF THE HETEROSKEDASTICITY CONDITIONAL AUTOREGRESSIVE MODE

Abstract

The purpose of this article has been the Bitcoin rates modeling, as the most important digital currency, by depending on 1932 daily observations. As a result , the Bitcoin rates follow the ARIMA(1,1,2) model while the residuals pursue GARCH(1.1) model . In the second semester of 2017, a structural change was noticed, at that moment, the Bitcoin has reached the highest level, and overcame the rate of 16560 Euro. The Bitcoin leap is due to several factors, the most important ones are that it has been accredited as a legal currency by many great world governments , benefits of the tax exemption for its users , has been considered as an entertainment tool , and a short term hedging tool as many researchers have declared .   French title: Modelisation de pieces Bitcoin utilisant le modele autoregressif heteroscedasticite conditionnelle Cet article vise a modeliser les valeurs de bitcoin comme la monnaie numerique la plus importante a travers les vues quotidiennes de 1932. Il a ete constate que les valeurs de bitcoin suivent le modele ARIMA (1,1,2) tandis que les autres suivent le modele  GARCH(1,1), en plus de surveiller les changements structurels dans la serie au deuxieme semestre 2017, au cours de cette periode, le bitcoin a atteint un record, depassant 16590 euros. Le boom du bitcoin est du a plusieurs facteurs, dont le plus important est son acceptation dans de nombreux grands pays comme monnaie legale, l'exoneration fiscale de son detenteur, en plus d'etre consideree comme une methode de luxe, en particulier avec ses avantages, car de nombreux chercheurs ont souligne qu'il  s'agissait d'un outil de couverture a court terme.