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 …

cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH …, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 …, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not …

GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and …Since Bitcoin introduction in 2008, the cryptocurrency market has grown into hundreds-of-billion-dollar market. The …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …