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Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and Ripple

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  • Utku Altunoz

    (Sinop University Boyabat Economics Faculty of Administrative Sciences, Economics, Sinop, Turkiye)

Abstract

This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles.After running the ADF and Ng-Perron unit root tests, the EGARCH model was analyzed as the best for Bitcoin and TGARCH for the Ethereum and Ripple. According to the obtained results, negative coefficients for Bitcoin imply that negative shocks will increase volatility more than positive shocks. This means that a leverage effect is present. No leverage effect was reached for Ethereum or Ripple, and positive shocks are understood to increase volatility for them compared to negative shocks. In addition, continuous speculative bubble pricing occurred for all three cryptocurrencies, with much higher bubble prices being understood to have occurred with Ethereum and Bitcoin compared to Ripple.

Suggested Citation

  • Utku Altunoz, 2023. "Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and Ripple," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 615-643, June.
    • Handle: RePEc:ist:journl:v:73:y:2023:i:1:p:615-643
    DOI: 10.26650/ISTJECON2023-1021393
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrency; Volatility; Financial Bubble; Ethereum; Ripple; Bitcoin JEL Classification : C01 ; C13 ; C51 ; E42;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System

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