Periodicity in Bitcoin returns: A time-varying volatility approach

Abdelhakim Aknouche and Stefanos Dimitrakopoulos

MPRA Paper from University Library of Munich, Germany

Abstract: We examine if the day-of-the-week effect is present in Bitcoin return series. The model specification in use accounts for conditional heteroscedasticity, which is captured in the form of a stochastic volatility process that allows for periodic time-varying parameters. We find periodicity in Bitcoin returns, which is evidence against the market efficiency of Bitcoin.

Keywords: Bitcoin series; periodicity; stochastic volatility model. (search for similar items in EconPapers)
JEL-codes: C32 C58 G38 (search for similar items in EconPapers)
Date: 2018-10-29, Revised 2024-10-28
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:122529

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