The Volatility of Bitcoin
Posted: 22 Feb 2017
Date Written: February 20, 2017
Abstract
This paper examines the volatility of Bitcoin as well as shedding light on the forecasting ability of GARCH models and HAR models in the Bitcoin market. We find no evidence of the leverage effect in Bitcoin and that the HAR models are superior in modelling Bitcoin volatility to traditional GARCH models. We also find that the inclusion of the jumps and the continuous components of HAR models adds information to the models.
Keywords: Bitcoin, Realized Volatility, Cryptocurrency, HAR models, GARCH models
JEL Classification: G14, G12
Suggested Citation: Suggested Citation
Urquhart, Andrew, The Volatility of Bitcoin (February 20, 2017). Available at SSRN: https://ssrn.com/abstract=2921082 or http://dx.doi.org/10.2139/ssrn.2921082
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