Title: The Price of BitCoin: GARCH Evidence from High Frequency Data
Authors: KANCS D'ARTISCIAIAN PAVELRAJCANIOVA MIROSLAVA
Publisher: Publications Office of the European Union
Publication Year: 2019
JRC N°: JRC115098
ISBN: 978-92-79-98570-6 (online)
ISSN: 1831-9424 (online)
Other Identifiers: EUR 29598 EN
OP KJ-NA-29598-EN-N (online)
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC115098
DOI: 10.2760/06822
Type: EUR - Scientific and Technical Research Reports
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.
JRC Directorate:Sustainable Resources

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