to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … investment tool in recent times. Using the opening data of weekly Bitcoin prices for the period of 11.24.2013–03.22.2020, their … logarithmic returns were calculated. The stationarity properties of the Bitcoin return series was tested by applying the ADF unit …

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional … Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and … speculative demand equations in a GARCH framework using hourly data for the period 2013-2018. In line with the theoretical model …

cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH …, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 … have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for …