A Bayesian study of changes in volatility of Bitcoin

Journal
Contaduría y Administración
ISSN
2448-8410
0186-1042
Date Issued
2019
Author(s)
Semei Coronado
Type
Resource Types::text::journal::journal article
DOI
URL
Abstract
<jats:p><p>This paper is aimed at studying a MS-GARCH model applied to Bitcoin. The Bayesian estimation of the model shows that Bitcoin’s volatility can be modelled using two states of volatility, high and low. The modelled volatility is not stable over time. Twenty eight periods of high volatility were found, the largest period of volatility occurred during 2013. The findings help explain what happened during these high volatility periods.</p><p> </p><p><strong> </strong></p></jats:p>