The Determinants of the Volatility in Cryptocurrency Markets: The Bitcoin Case

Abstract

This article analyzes the volatility in the cryptocurrency markets. Cryptocurrencies have come to the fore especially in recent years. They have no global border and are easy to use. The earliest example of a cryptocurrency was Bitcoin, first introduced in an article by Satoshi Nakamoto (2008). This study examines symmetries and asymmetries in the Bitcoin price and the expected leverage effect. The GARCH (1,1) model is statistically significant at the 1%. EUR/USD buying rate, GOLD price, USD10 Year Bond Yield, US Dollar Index and VIX variables are significant. The interaction between international financial variables and Bitcoin volatility emerge in the period of study. The EGARCH model indicates that the leverage effect is not valid in the cryptocurrency markets. © 2021 Bogazici Universitesi. All rights reserved.