Browsing by Author "Kapukotuwa, R.W.M.C.L.B."

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    Development of an ARIMA Model to Predict the Monthly Price of Bitcoin in USD
    (Faculty of Humanities and Sciences, SLIIT, 2024-12-04) Kapukotuwa, R.W.M.C.L.B.; Muthuranwela, M.M.P.L.; Samarakoon, H.G.I.L.; Dilshan, P.G.S.; Sajeewani, A.K.R.K.; Peiris, T. S. G.
    This study examines the bitcoin price in USD in the world by developing a suitable ti me series model to identi fy its future trends. This data set consists of monthly bitcoin prices from August 2010 to July 2024. It was found that the original series is not stati onary and not seasonality. The stati onary was achieved by the fi rst diff erence. Of the parsimonious models identi fi ed based on the Parti al Autocorrelati on Functi on (PACF) and Autocorrelati on Functi on (ACF) of the stati onary series, an auto-regressive integrated moving average (ARIMA) (2,1,2) model was identi fi ed as the best-fi tt ed model. The signifi cance of the model and its parameters and informati on criteria such as the Akaike Informati on Criterion (AIC), Schwarz Criterion, and log-likelihood was used to identi fy the best-fi tt ed model. The model was trained using data from August 2010 to March 2024. The residuals of the model were found to be white noise. The mean absolute percentage error (MAPE) for validati on data is 7.09%. The percentage errors for the validati ng set are all positi ve and varied from 3.5% to 12.9%. The predicted Bitcoin price (USD) from August to October 2024 are $59947.88, $60308.7, and $60669.53. Bitcoin price can be uti lized by market demand and supply, regulatory environment, and technology development.