Evaluating Bitcoin Price Index Fluctuations on Economic Development Using Univariate GARCH Models

Document Type : Research Paper

Authors

1 M.Sc. Student, Sistan and Baluchestan University, Zahedan, Iran

2 Associate Professor, Department of Economics, Sistan and Baluchestan University, Zahedan, Iran.

3 Postdoctoral Researcher, Faculty of Economics, Tehran University, Tehran, Iran

Abstract

 Digital currency analysis, especially Bitcoin, as the most popular digital currency, has received a lot of attention in recent years. The reason for this can be related to its innovative features, simplicity, transparency and increasing popularity. Since its introduction, Bitcoin has created great challenges and opportunities for policymakers, economists, entrepreneurs and consumers. The main purpose of writing this article is to investigate and analyze the
fluctuations and returns of Bitcoin using univariate conditional variance heterogeneous autoregression models in the period between March 2012 and March 2019. In this framework, GARCH, GJR-GARCH, TGARCH EGARCH and GARCH-M univariate GARCH models are used. The results show that the best model for risk assessment in univariate GARCH models is GARCH-M model, because the liquidity risk predicts the Bitcoin price index with less error than other univariate models. Also, the results obtained in the EGARCH model show that there are no leverage effects in Bitcoin rate changes and the estimated model is a symmetric model. Examining several other univariate GARCH models also showed that the price of Bitcoin has symmetry in positive and negative news, this means that positive and negative shocks have the same effect on the price of bitcoin. 

Keywords

References

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