This will be a new monthly post, building a time series model to predict the average monthly ETH price (USD) two months out. Next month, these predictions will be evaluated for accuracy.
The above graph displays a time series analysis of the average monthly ETH price (USD) with predictions for November and December of 2021. The point estimates for the average monthly ETH price (USD) are:
· Nov, 2021: Point Estimate = $4,233.42
· Dec, 2021: Point Estimate = $4,712.74
With the upper and lower confidence intervals:
· Nov, 2021: Upper CI = $8,079.46, Lower CI = $2,218.20
· Dec, 2021: Upper CI = $13,824.49, Lower CI = $1,606.56
Model details, for those who are interested:
· Software package used: JMP (analysis) & Tableau (visualization).
· Data non-stationary.
· Initially, original data was modelled but test predictions weren’t within the confidence interval. This may be caused by large amounts of variance in the data. So, the data was transformed using the natural log to shrink the variance, the model was built, then the predictions were transformed back into the original units (USD).
· The final “best” time series model was an ARI(1,1), with an AIC = 47.90, & BIC = 52.51. This model was both valid (residuals = white noise) and parsimonious (all parameter estimates were significant).
This content is for informational purposes only, you should not construe this information as investment, financial, or other advice.
