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

Abstract

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

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

José Fajardo (Contact Author)

Getulio Vargas Foundation ( email )

Brazil
55213799 5781 (Phone)

HOME PAGE: http://www.josefajardo.com

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