Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

International Journal of Finance and Economics - Tập 24 Số 1 - Trang 412-426 - 2019
Elie Bouri1, Luis A. Gil‐Alana2, Rangan Gupta3, David Roubaud4
1USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon
2Department of Economics and Navarra Center for International Development, ICS University of Navarra Pamplona Spain
3Department of Economics, Faculty of Economics and Management Sciences University of Pretoria Pretoria South Africa
4Business School Montpellier France

Tóm tắt

AbstractMotivated by the emergence of Bitcoin as a speculative financial investment, the purpose of this paper is to examine the persistence in the level and volatility of Bitcoin price, accounting for the impact of structural breaks. Using parametric and semiparametric techniques, we find strong evidence in favour of a permanency of the shocks and lack of mean reversion in the level series. We also reveal evidence of structural changes in the dynamics of Bitcoin. After accounting for the structural breaks in the level series, evidence of mean reversion is uncovered in some cases. Further analyses show evidence of a long memory in the two measures of volatility (absolute and the squared returns), whereas some cases of short memory are revealed in the squared returns series in particular. Practical implications are discussed on the inefficiency in the Bitcoin market and its importance for Bitcoin users and investors.

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