The Relationship Between Bitcoin Returns, Volatility, And Volume Using Asymmetric Garch Modelling

JAF- Journal of Accounting and Finance Pub Date : 2023-06-15 DOI:10.25124/jaf.v7i1.5565

Carel Dwinugrahadi Kurnaman, N. Rizal

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引用次数: 1

Abstract

In 2020-2021 where the world experienced a Covid-19 pandemic, the price of Bitcoin increased and there was a fairly high price spike at the turn of the year 2020-2021 and had touched an all-time high (ATH) at the end of 2021. Bitcoin is one of the currencies crypto that is volatile when compared to the exchange rates of widely used currencies. In addition, Bitcoin price movements are difficult to predict. The samples used are Euro, Pound Sterling, Yuan, Yen, Ruble, Franc, and Bitcoin. The data used is in the form of Bitcoin price data and some of these currencies in 2020-2021. This study aims to find the relationship between volatility with Bitcoin trading volume, return with Bitcoin trading volume, and return with Bitcoin volatility for forecasting purposes. The research method used is the Augmented Dickey-Fuller (ADF) stationarity test, then using the ARMA model after that using the EGARCH model to find the relationship. The results of this study indicate that there is a positive relationship between volatility and Bitcoin trading volume. Just like the return and trading volume of Bitcoin there is a positive relationship. However, Bitcoin returns, and volatility have a negative relationship. For further research can use different crypto currency assets with different time periods. Keywords: Volatility, Volume, Returns, Bitcoin, GARCH

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使用不对称Garch模型研究比特币收益、波动性和交易量之间的关系

在2020-2021年，全球经历了Covid-19大流行，比特币的价格上涨，在2020-2021年初出现了相当高的价格飙升，并在2021年底触及历史新高(ATH)。与广泛使用的货币汇率相比，比特币是一种不稳定的加密货币。此外，比特币的价格走势很难预测。使用的样本有欧元、英镑、人民币、日元、卢布、法郎和比特币。使用的数据是2020-2021年比特币价格数据和其中一些货币的数据。本研究旨在找出波动性与比特币交易量、收益与比特币交易量、收益与比特币波动性之间的关系，以进行预测。研究方法是ADF (Augmented Dickey-Fuller)平稳性检验，然后使用ARMA模型，再使用EGARCH模型来寻找关系。研究结果表明，波动性与比特币交易量之间存在正相关关系。就像比特币的收益和交易量是正相关的。然而，比特币的回报率与波动性呈负相关。为了进一步研究，可以使用不同时间段的不同加密货币资产。关键词:波动率，成交量，收益，比特币，GARCH

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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JAF- Journal of Accounting and Finance

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