比特币与区块链指数相关性及波动性的实证研究——基于Granger因果检验和garch类模型

Proceedings of the 4th International Conference on Crowd Science and Engineering Pub Date : 2019-10-18 DOI:10.1145/3371238.3371243

Tuotuo Qi, Tianmei Wang, Jian-ming Zhu, Ruyu Bai

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引用次数: 1

摘要

加密货币市场已经引起了全世界投资者的关注。在加密货币中，比特币无疑是最受欢迎的。由于区块链技术是比特币的关键支撑，因此探讨比特币与区块链指数之间的关系是必要的。此外，比特币和区块链指数的波动性对投资者来说至关重要。因此，本文采用格兰杰因果检验来探讨比特币与区块链指数之间的相关性。并利用garch类模型对其波动性进行了分析。

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

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.

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Proceedings of the 4th International Conference on Crowd Science and Engineering

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