Bitcoin, Gold and the Dollar - A Replication and Extension

Dyhrberg (2016) analyzes the relationship between Bitcoin, gold and the US dollar within a GARCH framework and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates that exact replication is not possible and that alternative statistical methods including a descriptive analysis provide more reliable, yet very different results. The findings based on the original sample and an extended sample period show that Bitcoin returns exhibit characteristics that are neither "in between" nor anywhere near gold and the US dollar.