The Volatility of Bitcoin

Posted: 22 Feb 2017

See all articles by Andrew Urquhart

Andrew Urquhart

ICMA Centre, Henley Business School

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

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

Andrew Urquhart (Contact Author)

ICMA Centre, Henley Business School ( email )

University of Reading
Whiteknights
Reading, Berkshire RG6 6BA
United Kingdom

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