New York University STAT-UB 0018 Time Series Project 2-REVIEWED AND EDITED BY EXPERTS

Document Content and Description Below

Description of Data Set For this project, I chose and downloaded the data for the historical daily close prices of the cryptocurrency Ethereum (ETH) in US dollars. I obtained the data from Yahoo Fin... ance and the dates for this assignment are from December 15, 2018 to December 15, 2019. For the purpose of the project, I removed the last data point and will be using it again to check the performance of the forecast intervals later. I will use R for this project and in doing so, will use both “forecast” and “tseries” libraries to complete my analysis. Data URL: https://finance.yahoo.com/quote/ETH-USD/history? period1=1544850000&period2=1576386000&interval=1d&filter=history&frequency=1d Part 1: Time Series Plot of Ethereum To start, I plotted the series of the original prices of Ethereum. The time series plot is the following: The time series plot has some sharp up and downs throughout the time range. To reduce the conditional volatility, I took the logarithm of the data. The plot of ACF of log(Price) and PACF of log(Price) is as follows: 1As shown through the graphs above, the log-price is not stationary because the series is not mean-reverting, the ACF of log-price stays around 1 and decreases gradually, and the PACF is almost 1 at lag-1 and cuts off after lag-1. This suggests that the series should be differenced to see if the difference of log-price is stationary. The following plots are the first difference of log-price as well as the ACF and PACF. To determine if I should use the first difference of log-price, I further computed the second difference of log-price. The second difference of log-price as well as its respective ACF and PACF are shown below. 2 [Show More]

Last updated: 1 year ago

Preview 1 out of 11 pages