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Jamal Bouoiyour and Refk Selmi
''Bitcoin: a beginning of a new phase?''
( 2016, Vol. 36 No.3 )
Although financial experts have often criticized Bitcoin for being too volatile as an asset and an independent electronic currency, the volatility of Bitcoin has declined at a rapid pace since January 2015. This study addresses if Bitcoin enters a new phase. Many extensions of GARCH have been carried out to adequately estimate Bitcoin price dynamics. Our results suggest that despite maintaining a moderate volatility, Bitcoin remains typically reactive to negative rather than positive news. Bitcoin market is still, therefore, far from being mature.
Keywords: Bitcoin price, volatility, GARCH models.
JEL: F3 - International Finance: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : May 08 2016 Manuscript Accepted : Aug 03 2016

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