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

【Author】 Aalborg, Halvor Aarhus; Molnar, Peter; de Vries, Jon Erik

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】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.

【Keywords】Bitcoin; Return; Volatility; Trading volume; Google searches

【发表时间】2019 JUN

【收录时间】2022-01-02

【文献类型】

【主题类别】

--