Backcasting Bitcoin prices: implementation with ARCH & GARCH models

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dc.authorid0000-0002-3893-4015
dc.authorid0000-0002-7981-3121
dc.authorid0000-0003-4257-6780
dc.contributor.authorTeker, Dileken_US
dc.contributor.authorTeker, Suaten_US
dc.contributor.authorDemirel Gümüştepe, Esinen_US
dc.date.accessioned2025-12-18T11:36:59Z
dc.date.available2025-12-18T11:36:59Z
dc.date.issued2024-12
dc.departmentIşık Üniversitesi, İktisadi, İdari ve Sosyal Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics, Administrative and Social Sciences, Department of Managementen_US
dc.description.abstractBitcoin, the first decentralized cryptocurrency, has gained popularity among investors for several reasons. Its potential for high returns makes it attractive to those seeking alternatives to traditional investments. Bitcoin's volatility provides both risk and reward, drawing in speculative investors. Moreover, Bitcoin operates independently of central banks or governments, appealing to those wary of inflation and economic instability. As more businesses and financial institutions adopt Bitcoin as an investment tool and a medium of exchange, its appeal continues to grow. For institutional investors, Bitcoin offers a way to diversify portfolios amid low interest rates and geopolitical uncertainty. However, the volatility in Bitcoin markets tends to be a risk exposure, so developing models to understand Bitcoin fluctuations is crucial to determining more about market behavior. Accurate financial models help predict price movements, manage risk, and identify macroeconomic correlations. Given its complexity, these models are essential for long-term investors to navigate volatility and optimize their investment strategies. This research employs ARCH and GARCH models to forecast Bitcoin volatility. The outputs indicate that ARIMA is the best fit model that explains Bitcoin’s price fluctuations in the selected data period.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationTeker, D., Teker, S. & Demirel Gümüştepe, E. (2024). Backcasting Bitcoin prices: implementation with ARCH & GARCH models. International Journal of Economics, Commerce and Management, 12(12), 1-9.en_US
dc.identifier.endpage9
dc.identifier.issn2348-0386
dc.identifier.issue12
dc.identifier.startpage1
dc.identifier.urihttps://hdl.handle.net/11729/6836
dc.identifier.urihttps://ijecm.co.uk/volume-12-issue-12/
dc.identifier.volume12
dc.institutionauthorTeker, Dileken_US
dc.institutionauthorTeker, Suaten_US
dc.institutionauthorDemirel Gümüştepe, Esinen_US
dc.institutionauthorid0000-0002-3893-4015
dc.institutionauthorid0000-0002-7981-3121
dc.institutionauthorid0000-0003-4257-6780
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherInternational Journal of Economics, Commerce and Managementen_US
dc.relation.ispartofInternational Journal of Economics, Commerce and Managementen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCryptocurrency marketen_US
dc.subjectBitcoinen_US
dc.subjectModelingen_US
dc.subjectARCHen_US
dc.subjectGARCHen_US
dc.subjectForecasten_US
dc.titleBackcasting Bitcoin prices: implementation with ARCH & GARCH modelsen_US
dc.typeArticleen_US
dspace.entity.typePublicationen_US

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