This paper conducts the first detailed analysis of the dynamics of Bitcoin prices. The application of an autoregressive jump-intensity GARCH model allows one to study the role of both volatility clusters and extreme price movements. The results suggest that the influence of the latter is particularly pronounced - larger than in other markets - and remains largely unchanged over time. These results gain importance as the Bitcoin market only recently emerged and is characterised by a number of distinct market features which imply that there are no uncertainties on the Bitcoin supply-side. Thus, the observed price movements are attributable to demand side factors.
|Name||Discussion Paper in Economics|
|Publisher||University of Aberdeen|
- Jump models
- Commodity Pricing