Bitcoin, Gold and the Dollar – a GARCH Volatility Analysis

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Title: Bitcoin, Gold and the Dollar – a GARCH Volatility Analysis
Authors: Dyhrberg, Anne Haubo
Permanent link: http://hdl.handle.net/10197/7168
Date: 12-Sep-2015
Abstract: This paper explores the financial asset capabilities of bitcoin using GARCH models. The initial model showed several similarities to gold and the dollar indicating hedging capabilities and advantages as a medium of exchange. The asymmetric GARCH showed that bitcoin may be useful in risk management and ideal for risk averse investors in anticipation of negative shocks to the market. Overall bitcoin has a place on the financial markets and in portfolio management as it can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages.
Type of material: Working Paper
Publisher: University College Dublin. School of Economics
Copyright (published version): 2015 the author
Keywords: Bitcoin;GARCH;Volatility
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Economics Working Papers & Policy Papers

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