| Pub. Date | : July, 2023 |
|---|---|
| Product Name | : The IUP Journal of Applied Economics |
| Product Type | : Article |
| Product Code | : IJAE040723 |
| Author Name | : Souha Boutouria |
| Availability | : YES |
| Subject/Domain | : Economics |
| Download Format | : PDF Format |
| No. of Pages | : 10 |
The cryptocurrency market has attracted significant attention from academics, investors, and regulators due to its unique characteristics. Research has shown that the prices and returns associated with cryptocurrency markets are volatile and unpredictable. As such, forecasting the future prices of cryptocurrencies is of critical importance to investors (Nakamoto (2008). Two common methods used to forecast cryptocurrency prices are technical analysis and fundamental analysis. Stochastic models are widely used in economics and finance to model financial time series data such as stock returns, exchange rates, and market indices.
These models can be used to reproduce the possible future prices observed in the market and to discover future prices for a long horizon. Several studies have developed econometric methods to model the dynamics of cryptocurrency. For example, Seasholes and Wu (2007) and Bandi and Reno (2016) highlighted the importance of considering jumps when modeling bitcoin prices.