Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

By Elie Bouri, L. Gil‐Alana, Rangan Gupta, David Roubaud. International Journal of Finance and Economics, 2018

151 citations recorded by the source corpus.

Motivated by the emergence of Bitcoin as a speculative financial investment, the purpose of this paper is to examine the persistence in the level and volatility of Bitcoin price, accounting for the impact of structural breaks. Using parametric and semiparametric techniques, we find strong evidence in favour of a permanency of the shocks and lack of mean reversion in the level series. We also reveal evidence of structural changes in the dynamics of Bitcoin. After accounting for the structural breaks in the level series, evidence of mean reversion is uncovered in some cases. Further analyses show evidence of a long memory in the two measures of volatility (absolute and the squared returns), whereas some cases of short memory are revealed in the squared returns series in particular. Practical implications are discussed on the inefficiency in the Bitcoin market and its importance for Bitcoin users and investors.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/6ea1864c4299ddee3189c2bdfeb924b283603402

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

  1. Elie Bouri
  2. Georges Azzi
  3. A. H. Dyhrberg
  4. David Roubaud
  5. Rangan Gupta
  6. Tetsuya Takaishi
  7. Andrew Urquhart
  8. Chi Keung Marco Lau

In Information Systems

  1. Elie Bouri
  2. A. H. Dyhrberg
  3. Georges Azzi
  4. Tetsuya Takaishi
  5. David Roubaud
  6. Rangan Gupta
  7. Andrew Urquhart
  8. Paraskevi Katsiampa

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