We employed linear and nonlinear error correction models (ECMs) to predict the log returns of Bitcoin (BTC). The linear ECM is the best model for predicting BTC compared to the neural network and autoregressive models in terms of RMSE, MAE, and MAPE. Using a linear ECM, we are able to understand how BTC is affected by other coins. In addition, we performed Granger-causality tests on fourteen cryptocurrencies.
|Original language||English (US)|
|Journal||Journal of Risk and Financial Management|
|State||Published - Feb 2022|
Bibliographical notePublisher Copyright:
© 2022 by the authors. Licensee MDPI, Basel, Switzerland.
- Granger causality
- error correction model