New York UniversitySTAT-UB 0018Time Series Project 2 .

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TRACKING THE MOVEMENT OF ETHEREUM PRICES Professor Hurvich Forecasting Time Series Data Description of Data Set For this project, I chose and downloaded the data for the historical daily close p... rices of the cryptocurrency Ethereum (ETH) in US dollars. I obtained the data from Yahoo Finance 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: 1 As 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-p [Show More]

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