Sebastian Alzate-Vargas

Mr. Sebastian Alzate-Vargas

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Research Focus & Metrics

Academic Career Length

3Years (2024-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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30 September 2024 in Risks
Verified
Journal Article
Open access
PDF file
JOJohanna Marcela Orozco-Castañeda
Johanna Marcela Orozco-Castañeda
SASebastian Alzate-Vargas
Sebastian Alzate-Vargas
DBDanilo Bedoya-Valencia
Danilo Bedoya-Valencia
This paper develops and implements an Autoregressive Integrated Moving Average model with an Adaptive Neuro-Fuzzy Inference System (ARIMA-ANFIS) for BTCUSD price prediction and risk assessment. The goal of these forecasts is to identify patterns from past data and achieve an understanding of the future behavior of the price and its volatility. The proposed ARIMA-ANFIS model is compared with a benchmark ARIMA-GARCH model. To evaluated the adequacy of the models in terms of risk assessment, we compare the confidence intervals of the price and accuracy measures for the testing sample. Additionally, we implement the diebold and Mariano test to compare the accuracy of the two volatility forecasts. The results revealed that each volatility model focuses on different aspects of the data dynamics. The ANFIS model, while effective in certain scenarios, may expose one to unexpected risks due to its underestimation of volatility during turbulent periods. On the other hand, the GARCH(1,1) model, by producing higher volatility estimates, may lead to excessive caution, potentially reducing returns.