Bitcoin’s Return Behaviour: What Do We Know So Far?
8 Pages Posted: 14 May 2019 Last revised: 19 Jun 2019
Date Written: April 15, 2019
In this paper we study the daily return behavior of Bitcoin digital currency. We propose the use of generalized hyperbolic distributions (GH) to model Bitcoin's return. Our results show that GH is a very good candidate to model this return.
Keywords: Bitcoin, Cryptocurrency, Jumps, Generalized Hyperbolic Distributions
JEL Classification: G1, C22
Suggested Citation: Suggested Citation
Fajardo, José, Bitcoin’s Return Behaviour: What Do We Know So Far? (April 15, 2019). Available at SSRN: https://ssrn.com/abstract=3365291 or http://dx.doi.org/10.2139/ssrn.3365291
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