Bitcoin, a peer to peer currency able to accomplish payments without the intermediary of any financial institution, has gained popularity becoming a mainstream phenomenon in these last years until the bust in end of the year 2017 becoming the most relevant financial bubble of the decade. The purpose of this paper is to give information about bitcoin and the blockchain technology, discuss some stylized facts about them and provide an algorithmic approach to study their volatility using a grid search algorithm able to provide the most suitable,distributional assumption, for the specification of Markov Switching GARCH model to study the conditional variance of BTC returns.
Bitcoin's time series analysis Markov Switching GARCH approach ( forthcoming) / Marchetti, Lorenzo. - (2019).
Bitcoin's time series analysis Markov Switching GARCH approach ( forthcoming)
Lorenzo Marchetti
2019
Abstract
Bitcoin, a peer to peer currency able to accomplish payments without the intermediary of any financial institution, has gained popularity becoming a mainstream phenomenon in these last years until the bust in end of the year 2017 becoming the most relevant financial bubble of the decade. The purpose of this paper is to give information about bitcoin and the blockchain technology, discuss some stylized facts about them and provide an algorithmic approach to study their volatility using a grid search algorithm able to provide the most suitable,distributional assumption, for the specification of Markov Switching GARCH model to study the conditional variance of BTC returns.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
