Volatilidad diaria del Ethereum en el mercado de criptomonedas: Un modelo de pronóstico
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Date
2024
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Universidad Nacional de Trujillo
Abstract
El presente trabajo de investigación es un estudio realizado con el objetivo de desarrollar un modelo preciso para prever la volatilidad diaria de la criptomoneda Ethereum en el mercado de criptomonedas. Utilizando un enfoque observacional y longitudinal con un diseño de series temporales. La recopilación de información se llevó a cabo mediante diversos instrumentos, que incluyeron la obtención de datos históricos de precios y volatilidad a través de la revisión de literatura. La población de interés comprendió la variable que representa los precios históricos de la moneda Ethereum, distribuidos espacialmente en 1759 observaciones y temporalmente desde el 10 de marzo de 2016 hasta el 01 de enero de 2021. Los resultados revelaron que la serie histórica de Ethereum exhibe características de volatilidad con una tendencia positiva en los últimos años, la comparación del pronóstico del modelo EGARCH (2,3) con los retornos proporcionados por la página Investing.com demostró una alta compatibilidad. Esto sugiere que el modelo EGARCH posee una afinidad significativa con la data real futura, validando así su capacidad predictiva, se destaca la eficacia del modelo EGARCH (2,3) como herramienta valiosa para anticipar y gestionar la volatilidad diaria en el mercado de criptomonedas.
ABSTRACT The present research work is a study conducted with the objective of developing an accurate model to forecast the daily volatility of the Ethereum cryptocurrency in the cryptocurrency market. Using an observational and longitudinal approach with a time series design. Data collection was conducted using a variety of tools, which included obtaining historical price and volatility data through literature review. The population of interest comprised the variable representing historical Ethereum coin prices, spatially distributed over 1759 observations and temporally from March 10, 2016 to January 01, 2021. The results revealed that the historical series of Ethereum exhibits volatility characteristics with a positive trend in recent years, the comparison of the EGARCH model forecast (2,3) with the returns provided by the Investing.com site showed a high compatibility. This suggests that the EGARCH model has a significant affinity with real future data, thus validating its predictive ability, highlighting the effectiveness of the EGARCH (2,3) model as a valuable tool to anticipate and manage daily volatility in the cryptocurrency market.
ABSTRACT The present research work is a study conducted with the objective of developing an accurate model to forecast the daily volatility of the Ethereum cryptocurrency in the cryptocurrency market. Using an observational and longitudinal approach with a time series design. Data collection was conducted using a variety of tools, which included obtaining historical price and volatility data through literature review. The population of interest comprised the variable representing historical Ethereum coin prices, spatially distributed over 1759 observations and temporally from March 10, 2016 to January 01, 2021. The results revealed that the historical series of Ethereum exhibits volatility characteristics with a positive trend in recent years, the comparison of the EGARCH model forecast (2,3) with the returns provided by the Investing.com site showed a high compatibility. This suggests that the EGARCH model has a significant affinity with real future data, thus validating its predictive ability, highlighting the effectiveness of the EGARCH (2,3) model as a valuable tool to anticipate and manage daily volatility in the cryptocurrency market.
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Criptomonedas