Determination Price Volatility of Bitcoin with Autoregressive Conditional Heteroscedasticiy Models


Belliler İ. S. , Yıldırım Z.

Akademik Araştırmalar ve Çalışmalar Dergisi, cilt.13, sa.24, ss.290-309, 2021 (Hakemli Üniversite Dergisi)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Konu: 24
  • Basım Tarihi: 2021
  • Doi Numarası: 10.20990/kilisiibfakademik.731233
  • Dergi Adı: Akademik Araştırmalar ve Çalışmalar Dergisi
  • Sayfa Sayıları: ss.290-309

Özet

Purpose: The purpose of this research is to analyze the price movements of bitcoin, which has become a new phenomenon in financial markets since 2009, the first year of its release, and can be defined as virtual money or crypto money, to be seen as a financial investment tool. Design/Methodology: In the study, volatility, return behavior and reliability as a financial investment tool are examined with autoregressive Conditional Variable Variance modeling. In this context, symmetrical and asymmetrical ARCH models were used. Findings: As a result of the analysis; it has been found that it has an asymmetric effect in the first period for the bitcoin return series examined with symmetric and asymmetric ARCH models. In addition, it has been determined that shocks occurring in the bitcoin return series according to the half-life criteria are exposed to the volatility effect for more than 30 days in each period. It has been determined that bitcoin, which is examined by periods, has higher volatility in its first years. Limitations: The volatility of bitcoin, which has become a new phenomenon in financial markets today, can be defined as virtual money or crypto money, has been analyzed. Originality/Value: In fact, there are many virtual currencies or cryptocurrencies traded in the market. However, among many virtual currencies, bitcoin is the most known and the most market volume. Analyzing the price movements of bitcoin, which has started to be seen as a financial investment tool, is of great importance in the framework of reliability. The examination made in this respect constitutes the original value of the research.