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Analysing the distribution properties of Bitcoin returns

Author

Listed:
  • Afees A. Salisu

    (Centre for Econometric and Allied Research, University of Ibadan)

  • Aviral Kumar Tiwari

    (2300 avenue des moulins, 3400 Montpellier, France Montpellier Business School, Montpellier, France.)

  • Ibrahim D. Raheem

    (School of Economics, University of Kent, Canterbury, UK)

Abstract

This study exploits several conditional heteroskedasticity models with various supported distributions in order to find the best distribution as well as the best GARCH-type model that may be used to model volatility of Bitcoin returns. Innovatively, the study is able to establish that pre-testing the residuals of Bitcoin returns for the best distribution can help to identify the appropriate distribution when modelling with GARCH-type models regardless of the data frequency.

Suggested Citation

  • Afees A. Salisu & Aviral Kumar Tiwari & Ibrahim D. Raheem, 2018. "Analysing the distribution properties of Bitcoin returns," Working Papers 058, Centre for Econometric and Allied Research, University of Ibadan.
    • Handle: RePEc:cui:wpaper:0058
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    References listed on IDEAS

    as
    1. Tiwari, Aviral Kumar & Jana, R.K. & Das, Debojyoti & Roubaud, David, 2018. "Informational efficiency of Bitcoin—An extension," Economics Letters, Elsevier, vol. 163(C), pages 106-109.
    2. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
    3. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
    4. Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
    5. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    6. C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Faizaan Pervaiz & Christopher Goh & Ashley Pennington & Samuel Holt & James West & Shaun Ng, 2020. "Fear and Volatility in Digital Assets," Papers 2010.15611, arXiv.org.

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    More about this item

    Keywords

    Bitcoin returns; GARCH-type models; Error distributions;
    All these keywords.

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