The Price of BitCoin: GARCH Evidence from High Frequency Data

Pavel Ciaian, d'Artis Kancs and Miroslava Rajcaniova

EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels

Abstract: The present paper analyses the BitCoin price formation accounting for the both transaction demand and speculative demand. We apply a GARCH model to high frequency data for the period 2013–2018. In line with the theoretical model, our empirical results confirm that the BitCoin transaction demand and speculative demand for BitCoin have a statistically significant impact on the BitCoin price formation. The BitCoin price responds negatively to higher BitCoin velocity, whereas 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. (search for similar items in EconPapers)
JEL-codes: E31 E42 G12 (search for similar items in EconPapers)
Date: 2018-12-14
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 (8)

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http://www.eeri.eu/documents/wp/EERI_RP_2018_14.pdf (application/pdf)

Related works:
Working Paper: The Price of BitCoin: GARCH Evidence from High Frequency Data (2019)
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:eei:rpaper:eeri_rp_2018_14

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