The price of BitCoin : GARCH evidence from high frequency data

Pavel Ciaian, d'Artis Kancs, Miroslava Rajcaniova

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, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically significant impact on the BitCoin price formation. The BitCoin price responds negatively to the BitCoin velocity, whereas positive shocks to the BitCoin stock, interest rate and the size of the BitCoin economy exercise an upward pressure on the BitCoin price.

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Year of publication:	[2018]
Authors:	Ciaian, Pavel ; Kancs, D'Artis ; Rajcaniova, Miroslava
Publisher:	Brussels, Belgium : EERI, Economics and Econometrics Research Institute
Subject:	Virtual currencies \| BitCoin returns \| volatility \| price formation \| GARCH \| ARCH-Modell \| ARCH model \| Volatilität \| Volatility \| Virtuelle Währung \| Virtual currency \| Börsenkurs \| Share price \| Elektronisches Geld \| Electronic money

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Extent:	1 Online-Ressource (circa 19 Seiten)
Series:	EERI research paper series. - Brussels : EERI, ISSN 2031-4892, ZDB-ID 2861229-2. - Vol. no 2018, 14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/213547 [Handle]
Classification:	E31 - Price Level; Inflation; Deflation ; E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011948479