The Price of BitCoin: GARCH Evidence from High Frequency Data

d'Artis Kancs, Pavel Ciaian and Miroslava Rajcaniova

No JRC115098, JRC Research Reports from Joint Research Centre

Abstract: This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and speculative demand equations in a GARCH framework using hourly data for the period 2013-2018. In line with the theoretical model, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically significant impact on the BitCoin price formation. The BitCoin price responds negatively to the BitCoin velocity, whereas positive shocks to the BitCoin stock, interest rate and the size of the BitCoin economy exercise an upward pressure on the BitCoin price.

Keywords: Virtual currencies; BitCoin returns; volatility; price formation; GARCH; Digital Economy (search for similar items in EconPapers)
JEL-codes: E31 E42 G12 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2019-02
New Economics Papers: this item is included in nep-mac, nep-mst and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://publications.jrc.ec.europa.eu/repository/handle/JRC115098

Related works:
Working Paper: The Price of BitCoin: GARCH Evidence from High Frequency Data (2018)
Working Paper: The Price of BitCoin: GARCH Evidence from High Frequency Data (2018)
Journal Article: The price of Bitcoin: GARCH evidence from high-frequency data
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Persistent link: https://EconPapers.repec.org/RePEc:ipt:iptwpa:jrc115098

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