*Article* **Next-Day Bitcoin Price Forecast**

### **Ziaul Haque Munim 1,2,\*, Mohammad Hassan Shakil 3 and Ilan Alon 1**


Received: 30 April 2019; Accepted: 14 June 2019; Published: 20 June 2019

**Abstract:** This study analyzes forecasts of Bitcoin price using the autoregressive integrated moving average (ARIMA) and neural network autoregression (NNAR) models. Employing the static forecast approach, we forecast next-day Bitcoin price both with and without re-estimation of the forecast model for each step. For cross-validation of forecast results, we consider two different training and test samples. In the first training-sample, NNAR performs better than ARIMA, while ARIMA outperforms NNAR in the second training-sample. Additionally, ARIMA with model re-estimation at each step outperforms NNAR in the two test-sample forecast periods. The Diebold Mariano test confirms the superiority of forecast results of ARIMA model over NNAR in the test-sample periods. Forecast performance of ARIMA models with and without re-estimation are identical for the estimated test-sample periods. Despite the sophistication of NNAR, this paper demonstrates ARIMA enduring power of volatile Bitcoin price prediction.

**Keywords:** ARIMA; artificial neural network; Bitcoin; cryptocurrency; static forecast
