The Volatility of Bitcoin

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

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Year of publication:	2017
Authors:	Urquhart, Andrew
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Virtuelle Währung \| Virtual currency \| Elektronisches Geld \| Electronic money
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 20, 2017 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2921082 [DOI]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012962600