Estimation of Bitcoin volatility: GARCH implementation

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dc.authorid0000-0002-3893-4015
dc.authorid0000-0002-7981-3121
dc.contributor.authorTeker, Dileken_US
dc.contributor.authorTeker, Suaten_US
dc.date.accessioned2025-12-19T13:10:32Z
dc.date.available2025-12-19T13:10:32Z
dc.date.issued2020-01
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Ekonomi Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Economicsen_US
dc.description.abstractAs bitcoin has been a topic of high interest for academic and professional life over recent years, a number of literature has examined its price movements, volatility, and predictions. Bitcoin is the first and perhaps the most popular cryptocurrency with a high volatility pattern compared to the other cryptocurrencies. This paper examines the models that explain the volatility of Bitcoin prices. The daily data for the Bitcoin prices are used through a period of July 31, 2017, to April 3, 2019, with a total number of observations of 484. Initially, unit root tests are implemented. Then, the heteroskedasticity problem is tested among variables. Based on the results of the heteroskedasticity test, it is decided to use ARCH models. Then, ARCH, GARCH, TGARCH, and EGARCH results are tested to find out the best fit model that explains the bitcoin price movements.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationTeker, D. & Teker, S. (2020). Estimation of Bitcoin volatility: GARCH implementation. SRG International Journal of Economics and Management Studies, 7(1), 159-163. https://doi.org/10.14445/23939125/IJEMS-V7I1P120en_US
dc.identifier.endpage163
dc.identifier.issn2393-9125
dc.identifier.issue1
dc.identifier.startpage159
dc.identifier.urihttps://hdl.handle.net/11729/6844
dc.identifier.urihttps://doi.org/10.14445/23939125/IJEMS-V7I1P120
dc.identifier.volume7
dc.institutionauthorTeker, Dileken_US
dc.institutionauthorTeker, Suaten_US
dc.institutionauthorid0000-0002-3893-4015
dc.institutionauthorid0000-0002-7981-3121
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherSeventh Sense Research Groupen_US
dc.relation.ispartofSRG International Journal of Economics and Management Studiesen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBitcoinen_US
dc.subjectStationarityen_US
dc.subjectARCHen_US
dc.subjectGARCHen_US
dc.subjectTGARCHen_US
dc.subjectEGARCHen_US
dc.titleEstimation of Bitcoin volatility: GARCH implementationen_US
dc.typeArticleen_US
dspace.entity.typePublicationen_US

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