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 …

autoregressive conditional heteroskedastic (EGARCH), integrated GARCH (IGARCH), standard GARCH, GJR-GARCH, lagged realized volatility …This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less … (LRE), and heterogeneous autoregressive (HAR) models are systematically compared using 5 min computed return data from …