Empirical Study on the Correlation and Volatility between Bitcoin and the Blockchain Index: Based on Granger causality test and GARCH-class model

Abstract

The encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, Bitcoin is undoubtedly the most popular. Because blockchain technology is the crucial support of bitcoin, exploring the relationship between bitcoin and the Blockchain Index is necessary. In addition, the volatility of bitcoin and the Blockchain Index is crucial for investors. Therefore, this paper uses the Granger causality test to explore the correlation between bitcoin and the Blockchain Index. Furthermore, their volatility is analyzed by a GARCH-class model.