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What can explain the price, volatility and trading volume of Bitcoin?.pdf

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What can explain the price, volatility and trading volume of Bitcoin?
Citation Data - Finance Research Letters, ISSN: 1544-6123, Vol: 29, Page: 255-265
Publication Year - 2019

We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index and Google searches for “Bitcoin”. We use realized volatility calculated from high-frequency data and find that the heterogeneous autoregressive model is suitable for Bitcoin volatility. Trading volume further improves this volatility model. The trading volume of Bitcoin can be predicted from Google searches for “Bitcoin”. However, none of the considered variables can predict Bitcoin returns.


DOI10.1016/j.frl.2018.08.010
AUTHOR(S)
Aalborg, Halvor Aarhus; Molnár, Peter; de Vries, Jon Erik

PUBLISHER(S)
Elsevier BV

TAG(S)
Economics, Econometrics and Finance

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