A Bayesian study of changes in volatility of Bitcoin

Rojas, Omar; Semei Coronado

doi:10.22201/fca.24488410e.2020.2358

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

10.22201/fca.24488410e.2020.2358

URL

https://scripta.up.edu.mx/handle/20.500.12552/3339

Abstract

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.