| Title: |
Determinants of Bitcoin price movements |
| Authors: |
Teker, Dilek; Teker, Suat; Demirel, Esin |
| Publisher Information: |
Suat Teker |
| Publication Year: |
2024 |
| Collection: |
Işık Üniversitesi: DSpace Repository |
| Subject Terms: |
Bitcoin; ARCH models; GARCH models; Forecasting; ARIMA models |
| Description: |
Purpose- Investors want to include Bitcoin in their portfolios due to its high returns. However, high returns also come with high risks. For this reason, the volatility prediction of Bitcoin prices is the focus of attention of investors. Because Bitcoin's volatility is used as an important input in portfolio selection and risk management. This means that the models to be used in predicting Bitcoin volatility increases the importance of performance. In this research; A comparative examination of the models applied for Bitcoin shows an effective performance in volatility prediction. It is very important for evaluation. The aim of this study is to model Bitcoin price returns and to examine future return predictions and return directions using historical Bitcoin prices. Methodology- Many models have been used in studies on financial instruments and price predictions. Models such as linear and nonlinear regression, Random Walk Model, GARCH and ARIMA fall into this category. Nonlinear econometric models such as ARCH and GARCH are used for financial time series with variable volatility. These models assume that the variance is not constant. In this study, first Bitcoin price returns for the period between January 2020 and December 2023 will be modeled with the GARCH model, and then the ARCH-GARCH models will be used for future prediction of returns for the period between January 2024 and June 2024. Finally, the actual values will be compared with the forecasted values. In other words, the primary aim of this study is to use the daily Bitcoin closing price between May 2020 and December 2023 to estimate the returns for the periods of 2024 and compare it with the actual returns. Findings- The analysis reveals that GARCH Model results showed that in the mean and variance equations, it is seen that all variables are except intercept of the mean equation significant according to the error level of 0.05. Namely, the reaction and persistence parameters are significant accourding to 0.05 in the variance equation. Both the ... |
| Document Type: |
article in journal/newspaper |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
PressAcademia Procedia; Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı; https://hdl.handle.net/11729/6530; https://doi.org/10.17261/Pressacademia.2024.1911; 19; 75; 78 |
| DOI: |
10.17261/Pressacademia.2024.1911 |
| Availability: |
https://hdl.handle.net/11729/6530; https://doi.org/10.17261/Pressacademia.2024.1911 |
| Rights: |
info:eu-repo/semantics/openAccess |
| Accession Number: |
edsbas.3058F836 |
| Database: |
BASE |