Realized Bitcoin Volatility

40 Pages Posted: 11 Apr 2017  

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Date Written: April 10, 2017

Abstract

Bitcoin is a digital currency and designed to have typical functions of a currency such as being a medium of exchange, a unit of account and a store of value. Each of these functions is adversely affected by the volatility of the currency. If a currency exhibits extreme fluctuations, its usage as a currency is limited. By means of an in-depth analysis of Bitcoin realized volatility, we show that the volatility of Bitcoin is extreme (up to 30 times larger) compared to the major currencies US dollar, the euro and the Japanese yen. The findings imply that Bitcoin cannot function as a currency.

Keywords: Bitcoin, digital currency, medium of exchange, realized volatility

JEL Classification: C58, E44, F31

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas, Realized Bitcoin Volatility (April 10, 2017). Available at SSRN: https://ssrn.com/abstract=2949754 or http://dx.doi.org/10.2139/ssrn.2949754

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Thomas Dimpfl (Contact Author)

University of Tuebingen - Department of Statistics and Econometrics ( email )

Germany

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