Forecasting cryptocurrency returns using classical statistical and deep learning techniques

Nehal N. AlMadany, Omar Hujran, Ghazi Al Naymat, Aktham Maghyereh

Research output: Contribution to journalArticlepeer-review


The emergence of cryptocurrencies has generated enthusiasm and concern in the modern global economy. However, their high volatility, erratic price fluctuations, and tendency to exhibit price bubbles have made investors cautious about investing in them. Consequently, it is essential to develop methods and models to forecast cryptocurrency returns to benefit investors, traders, and the scientific community. Despite the considerable volume of research on Bitcoin price forecasting, other cryptocurrencies have received little attention in academic literature. Additionally, the current body of literature on predicting cryptocurrency prices or returns emphasizes the use of in-sample methodologies. However, this method is susceptible to overfitting. To address these gaps in the literature, this study employs autoregressive moving average (ARMA), generalized autoregressive conditional heteroskedasticity (GARCH), exponential generalized autoregressive conditional heteroskedasticity (EGARCH), and long short-term memory (LSTM) deep learning neural networks to forecast returns for the ten most actively traded digital currencies: Bitcoin, Ethereum, Ripple, Chainlink, Litecoin, Cardano, Ethereum Classic, Bitcoin Cash, Tether, and Binance Coin. To assess the accuracy of the two models, this study utilizes an out-of-sample method with data gathered sequentially from November 9, 2017, to September 18, 2022. The results indicate that all models exhibit high accuracy, as evidenced by their low root mean square error (RMSE), mean absolute error (MAE), and mean squared error (MSE) values. Meanwhile, the hybrid EGARCH-LSTM or GARCH-LSTM models demonstrate slightly better accuracy compared with the other models. The findings are valuable for investors, traders, and researchers involved in cryptocurrency forecasting.

Original languageEnglish
Article number100251
JournalInternational Journal of Information Management Data Insights
Issue number2
Publication statusPublished - Nov 2024
Externally publishedYes


  • ARMA
  • Cryptocurrency
  • Deep learning, LSTM
  • Machine learning
  • Time-series forecasting

ASJC Scopus subject areas

  • Management Information Systems
  • Information Systems
  • Industrial and Manufacturing Engineering
  • Library and Information Sciences
  • Information Systems and Management
  • Artificial Intelligence


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