Dependency analysis between Bitcoin and selected global currencies

Beata Szetela (), Grzegorz Mentel () and Stanislaw Gedek ()
Additional contact information
Beata Szetela: Rzeszow Technical University
Grzegorz Mentel: Rzeszow Technical University
Stanislaw Gedek: Rzeszow Technical University

Dynamic Econometric Models, 2016, vol. 16, 133-144

Abstract: In this research we have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well. We have applied ARMA and GARCH models to model and to analyze the condi-tional mean and variance. The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while AR-MA analysis have shown no relations between bitcoin and other dependent variables.

Keywords: ARMA; Bitcoin; Dependency; GARCH; Variability (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://apcz.umk.pl/DEM/article/view/DEM.2016.009/10729 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:16:y:2016:p:133-144

Access Statistics for this article

Dynamic Econometric Models is currently edited by Mariola Pilatowska

More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().