The rapid advancement in encryption and network computing gave birth to new tools and products that have influenced the local and global economy alike. One recent and notable example is the emergence of virtual currencies, also known as cryptocurrencies or digital currencies. Virtual currencies, such as Bitcoin, introduced a fundamental transformation that affected the way goods, services, and assets are exchanged. As a result of its distributed ledgers based on blockchain, cryptocurrencies not only offer some unique advantages to the economy, investors, and consumers, but also pose considerable risks to users and challenges for regulators when fitting the new technology into the old legal framework.
This paper attempts to model the volatility of bitcoin using 5 variants of the GARCH model namely: GARCH(1,1), EGARCH(1,1) IGARCH(1,1) TGARCH(1,1) and GJR-GARCH(1,1). Once the best model is selected, an OLS regression was ran on the volatility series to measure the day of the week the effect. The results indicate that the TGARCH (1,1) model best fits the volatility price for the data. Moreover, Sunday appears as the most significant day in the week. A nontechnical discussion of several aspects and features of virtual currencies and a glimpse at what the future may hold for these decentralized currencies is also presented.
| Identifer | oai:union.ndltd.org:uottawa.ca/oai:ruor.uottawa.ca:10393/36949 |
| Date | January 2017 |
| Creators | Aljohani, Azizah |
| Contributors | Saadi, Samir |
| Publisher | Université d'Ottawa / University of Ottawa |
| Source Sets | Université d’Ottawa |
| Language | English |
| Detected Language | English |
| Type | Thesis |
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