The price of BitCoin: GARCH evidence from high frequency data

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: EERI Research Paper Series ; No. 14/2018

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: Virtual currencies ; BitCoin returns ; volatility ; price formation ; GARCH

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ciaian, Pavel ; Kancs, D'Artis ; Rajcaniova, Miroslava
• Event: Veröffentlichung
• (who): Economics and Econometrics Research Institute (EERI)
• (where): Brussels
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/213547
• Last update: 10.03.2025, 11:43 AM CET