Bitcoin: a beginning of a new phase?

Jamal Bouoiyour () and Refk Selmi

Economics Bulletin, 2016, vol. 36, issue 3, 1430-1440

Abstract: Although financial experts have often criticized Bitcoin for being too volatile as an asset and an independent electronic currency, the volatility of Bitcoin has declined at a rapid pace since January 2015. This study addresses if Bitcoin enters a new phase. Many extensions of GARCH have been carried out to adequately estimate Bitcoin price dynamics. Our results suggest that despite maintaining a moderate volatility, Bitcoin remains typically reactive to negative rather than positive news. Bitcoin market is still, therefore, far from being mature.

Keywords: Bitcoin price; volatility; GARCH models. (search for similar items in EconPapers)
JEL-codes: E3 F3 (search for similar items in EconPapers)
Date: 2016-08-03
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Citations: View citations in EconPapers (69)

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